Specification tests for nonlinear dynamic models

DOI10.1111/ECTJ.12040MaRDI QIDQ5091815zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(21)

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

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