Bootstrap specification tests for dynamic conditional distribution models

DOI10.1016/j.jeconom.2022.08.006OpenAlexW4296876494MaRDI QIDQ6108286

Mervyn J. Silvapullé, Indeewara Perera

Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.08.006

zbMATH Keywords

GARCHgoodness-of-fitKolmogorov-Smirnov teststochastic recurrence equationslack-of-fit testresidual empirical process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Distribution-free specification tests of conditional models
• Asymptotics for parametric GARCH-in-mean models
• A goodness-of-fit test for GARCH innovation density
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Fitting a two phase threshold multiplicative error model
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
• Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• GARCH processes: structure and estimation
• Resampling methods for dependent data
• Weighted empirical processes in dynamic nonlinear models.
• Asymptotic distribution-free tests for semiparametric regressions with dependent data
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Martingale transforms goodness-of-fit tests in regression models.
• The efficiency of the estimators of the parameters in GARCH processes.
• Weak convergence and empirical processes. With applications to statistics
• Bootstrap based probability forecasting in multiplicative error models
• Residual-based rank specification tests for AR-GARCH type models
• Fitting an error distribution in some heteroscedastic time series models
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
• A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
• SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
• Goodness-of-Fit Tests for Multiplicative Models with Dependent Data
• Score based goodness-of-fit tests for time series
• Constrained Statistical Inference
• A Model Specification Test For GARCH(1,1) Processes
• ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
• Asymptotic Statistics
• Autoregressive Conditional Density Estimation
• A Conditional Kolmogorov Test
• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Anderson Inequality is Strict for Gaussian and Stable Measures
• Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing
• SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
• LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• A specification test for dynamic conditional distribution models with function-valued parameters
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Bootstrap specification tests for dynamic conditional distribution models