Specification tests for multiplicative error models
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Recommendations
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- A misspecification test for multiplicative error models of non-negative time series processes
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Diagnostic checking of Markov multiplicative error models
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
Cites work
- A central limit theorem under metric entropy with \(L_ 2\) bracketing
- A family of autoregressive conditional duration models
- A multiple indicators model for volatility using intra-daily data
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Bootstrapping modified goodness-of-fit statistics with estimated parameters
- Econometric modelling of stock market intraday activity.
- Econometrics of financial high-frequency data
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Fitting an error distribution in some heteroscedastic time series models
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Nonparametric specification tests for conditional duration models
- On a measure of lack of fit in time series models
- On tail probabilities for martingales
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Score based goodness-of-fit tests for time series
- Stochastic volatility duration models
- The Econometrics of Ultra-high-frequency Data
- The Volatility of Realized Volatility
- Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
Cited in
(20)- Bootstrap based probability forecasting in multiplicative error models
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- A simple and effective misspecification test for the double-hurdle model
- scientific article; zbMATH DE number 3874464 (Why is no real title available?)
- Specification Tests in Econometrics
- Testing weak exogeneity in multiplicative error models
- Location multiplicative error models with quasi maximum likelihood estimation
- Adaptive Lasso for vector multiplicative error models
- Fitting a two phase threshold multiplicative error model
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Tests of the multiperiod two-parameter model
- Specification and testing of multiplicative time-varying GARCH models with applications
- Bootstrap specification tests for dynamic conditional distribution models
- Bootstrap inference for Hawkes and general point processes
- On an independent-switching periodic autoregressive conditional duration
- Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
- Omnibus diagnostic procedures for vector multiplicative errors models
- Evaluating multiplicative error models: a residual-based approach
- A misspecification test for multiplicative error models of non-negative time series processes
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