Specification tests for nonlinear dynamic models

DOI10.1111/ECTJ.12040OpenAlexW3125394553MaRDI QIDQ5091815

Igor L. Kheifets

Publication date: 27 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.3533

zbMATH Keywords

weak convergencetime seriesempirical processgoodness-of-fitparameter uncertaintyconditional distributionprobability integral transform

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

New goodness-of-fit diagnostics for conditional discrete response models ⋮ Multivariate specification tests based on a dynamic Rosenblatt transform ⋮ AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL ⋮ A robust score-driven filter for multivariate time series ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ A specification test for dynamic conditional distribution models with function-valued parameters

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