Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions

DOI10.1016/J.JECONOM.2012.08.018MaRDI QIDQ528145zbMATHOpenAlexFDO

Authors J. Huston McCulloch, E. Richard jun. Percy

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612002023

zbMATH Keywords

stable distributionLagrange multiplier testStudent \(t\) distributiongeneralized error distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 47315 (Why is no real title available?)
• scientific article; zbMATH DE number 1301891 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1024452 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A Test for Normality of Observations and Regression Residuals
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Numerical calculation of stable densities and distribution functions
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Statistical methods in finance

Cited in

(3)

• A smooth test for the equality of distributions
• Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities
• Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data

Describes a project that uses

Uses Software

• STABLE
• SYMSTB

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