Specification tests of parametric dynamic conditional quantiles
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Publication:736700
DOI10.1016/J.JECONOM.2010.06.003zbMATH Open1431.62186OpenAlexW2107844777MaRDI QIDQ736700FDOQ736700
Carlos I. Hoyos Velasco, J. Carlos Escanciano
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2008-021.pdf
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- A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS
nonlinear time seriessubsamplingempirical processesvalue-at-riskconditional quantilesomnibus testsquantile processestail risk
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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Cited In (31)
- Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
- On Testing the Equality of Mean and Quantile Effects
- Nonparametric estimation and inference on conditional quantile processes
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION
- Testing for Granger-causality in quantiles
- Testing linearity against threshold effects: uniform inference in quantile regression
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness
- Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Specification analysis of linear quantile models
- A specification test for dynamic conditional distribution models with function-valued parameters
- Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
- Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Adaptive testing using data-driven method selecting smoothing parameters
- Flexible specification testing in quantile regression models
- Unified specification tests in partially linear quantile regression models
- Quantile regression methods for first-price auctions
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- A lack-of-fit test for quantile regression models with high-dimensional covariates
- Misspecification Testing in a Class of Conditional Distributional Models
- An updated review of goodness-of-fit tests for regression models
- Partially linear varying coefficient models with missing at random responses
- Model checking for parametric single-index quantile models
- Powerful nonparametric checks for parametric single-index quantile models with missing responses
- Statistical inference for conditional quantiles in nonlinear time series models
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