Specification tests for nonlinear dynamic models

DOI10.1111/ECTJ.12040OpenAlexW3125394553MaRDI QIDQ5091815FDOQ5091815

Authors: Igor L. Kheifets 

Publication date: 27 July 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.3533

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zbMATH Keywords

time seriesempirical processgoodness-of-fitconditional distributionweak convergenceparameter uncertaintyprobability integral transform

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (21)

• Nonparametric specification tests for conditional duration models
• A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Specification tests for non-Gaussian maximum likelihood estimators
• A visual goodness-of-fit test for econometrical models
• Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
• A robust score-driven filter for multivariate time series
• Testing for nonlinearity in conditional covariances
• A specification test for dynamic conditional distribution models with function-valued parameters
• Multivariate specification tests based on a dynamic Rosenblatt transform
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• An almost closed form estimator for the EGARCH model
• A general approach to conditional moment specification testing with projections
• Diagnostic checking for the adequacy of nonlinear time series models
• Misspecification tests based on quantile residuals
• An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
• New goodness-of-fit diagnostics for conditional discrete response models
• Distribution-free specification tests of conditional models
• Analysis of the conditional stock-return distribution under incomplete specification.
• Specification tests for non-Gaussian structural vector autoregressions
• Adaptive Lasso for vector multiplicative error models

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