Specification tests of parametric dynamic conditional quantiles
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Cites work
- scientific article; zbMATH DE number 5769855 (Why is no real title available?)
- scientific article; zbMATH DE number 3907602 (Why is no real title available?)
- scientific article; zbMATH DE number 3711116 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A Lack-of-Fit Test for Quantile Regression
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- A uniform CLT for uniformly bounded families of martingale differences
- An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
- An Edgeworth expansion for the \(m\) out of \(n\) bootstrapped median
- An interior point algorithm for nonlinear quantile regression
- Asymptotic Theory of Least Absolute Error Regression
- Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
- Autoregression quantiles and related rank-scores processes
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Bootstrap Methods for Median Regression Models
- Bootstrapping Quantile Regression Estimators
- Consistent model specification tests
- Consistent specification testing for conditional moment restrictions
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Inference on the Quantile Regression Process
- Markov Chain Marginal Bootstrap
- Nonparametric model checks for time series
- Nonparametric tests for conditional symmetry in dynamic models
- On the lack of power of omnibus specification tests
- Optimal tests for autoregressive models based on autoregression rank scores
- Predictive density and conditional confidence interval accuracy tests
- Quantile Autoregression
- Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
- Quasi-maximum likelihood estimation for conditional quantiles
- Regression Quantiles
- Regression rank scores and regression quantiles
- SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
- Simple resampling methods for censored regression quantiles
- Subsampling
- Tests of linear hypotheses based on regression rank scores
- The Lindeberg-Levy Theorem for Martingales
- Uniform CLT for Markov chains and its invariance principle: A martingale approach
- Uniform Central Limit Theorems
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of some classes of martingales with jumps.
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(33)- Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
- On Testing the Equality of Mean and Quantile Effects
- Specification tests for nonlinear dynamic models
- Nonparametric estimation and inference on conditional quantile processes
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Testing linearity against threshold effects: uniform inference in quantile regression
- Testing for Granger-causality in quantiles
- Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Specification analysis of linear quantile models
- 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
- 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
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
- Markov-switching quantile autoregression: a Gibbs sampling approach
- 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
- Misspecification tests based on quantile residuals
- Specification testing in nonparametric instrumental quantile regression
- Unified specification tests in partially linear quantile regression models
- Quantile regression methods for first-price auctions
- A lack-of-fit test for quantile regression models with high-dimensional covariates
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- An updated review of goodness-of-fit tests for regression models
- Misspecification Testing in a Class of Conditional Distributional Models
- Partially linear varying coefficient models with missing at random responses
- Model checking for parametric single-index quantile models
- Statistical inference for conditional quantiles in nonlinear time series models
- Powerful nonparametric checks for parametric single-index quantile models with missing responses
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