Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

DOI10.1198/016214505000001050zbMATH Open1119.62359OpenAlexW2135643467MaRDI QIDQ5754963FDOQ5754963

Publication date: 20 August 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://www.unav.edu/documents/10174/6546776/1132757196_wp0205.pdf

Recommendations

Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
A nonparametric goodness-of-fit test for a class of parametric autoregressive models
Nonparametric model checks for time series
A goodness-of-fit test for ARCH($\infty$) models
Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (48)

New goodness-of-fit tests for the error distribution of autoregressive time-series models
A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms
The Bierens test for certain nonstationary models
A goodness-of-fit test for Poisson count processes
Empirical likelihood based testing for regression
On goodness of fit for time series regression models
A test for the geometric distribution based on linear regression of order statistics
A consistent bootstrap test for conditional density functions with time-series data
Goodness-of-fit testing for time series models via distance covariance
On the lack of power of omnibus specification tests
Statistical inference for autoregressive models under heteroscedasticity of unknown form
Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Model checks of higher order time series
On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
A goodness-of-fit test for ARCH($\infty$) models
Joint and marginal specification tests for conditional mean and variance models
Testing for Granger-causality in quantiles
Marked empirical processes for non-stationary time series
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes
Model checks for nonlinear cointegrating regression
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
Extremal Dependence-Based Specification Testing of Time Series
Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
Specification tests for the propensity score
Distribution-free specification tests for dynamic linear models
Model assessment for time series dynamics using copula spectral densities: a graphical tool
A robust adaptive-to-model enhancement test for parametric single-index models
Model checks using residual marked empirical processes
Nonparametric pseudo-Lagrange multiplier stationarity testing
An Empirical Likelihood Goodness-of-Fit Test for Time Series
New HSIC-based tests for independence between two stationary multivariate time series
Goodness-of-fit tests for multiplicative models with dependent data
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
A robust test for serial correlation in panel data models
Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
Specification tests of parametric dynamic conditional quantiles
A bootstrapped spectral test for adequacy in weak ARMA models
Stationarity testing under nonlinear models. Some asymptotic results
An updated review of goodness-of-fit tests for regression models
Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
Testing the martingale difference hypothesis using integrated regression functions
A model specification test for GARCH(1,1) processes
Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach

This page was built for publication: Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5754963)