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

DOI10.1016/J.JECONOM.2012.08.018zbMATH Open1443.62493OpenAlexW2093331807MaRDI QIDQ528145FDOQ528145

E. Richard jun. Percy, J. Huston McCulloch

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)

Cites Work

• A Test for Normality of Observations and Regression Residuals
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Numerical calculation of stable densities and distribution functions
• Statistical methods in finance
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
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Cited In (1)

• Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data

Uses Software

• STABLE
• SYMSTB

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