Specification tests of parametric dynamic conditional quantiles

DOI10.1016/j.jeconom.2010.06.003zbMath1431.62186OpenAlexW2107844777MaRDI QIDQ736700

Carlos Velasco, Juan 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

zbMATH Keywords

empirical processesquantile processesvalue-at-risknonlinear time seriessubsamplingconditional quantilesomnibus teststail risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (23)

Generalized empirical likelihood testing in semiparametric conditional moment restrictions models ⋮ Estimating impulse-response functions for macroeconomic models using directional quantiles ⋮ Adaptive testing using data-driven method selecting smoothing parameters ⋮ A lack-of-fit test for quantile regression models with high-dimensional covariates ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Partially linear varying coefficient models with missing at random responses ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk ⋮ 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 ⋮ Flexible specification testing in quantile regression models ⋮ Markov-switching quantile autoregression: a Gibbs sampling approach ⋮ SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION ⋮ On Testing the Equality of Mean and Quantile Effects ⋮ Misspecification Testing in a Class of Conditional Distributional Models ⋮ Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications ⋮ Specification analysis of linear quantile models ⋮ Testing linearity against threshold effects: uniform inference in quantile regression ⋮ Quantile regression methods for first-price auctions ⋮ A Projection-Based Nonparametric Test of Conditional Quantile Independence ⋮ A specification test for dynamic conditional distribution models with function-valued parameters ⋮ Nonparametric estimation and inference on conditional quantile processes ⋮ Testing for Granger-causality in quantiles

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Consistent model specification tests
• Quasi-maximum likelihood estimation for conditional quantiles
• Generalized spectral tests for the martingale difference hypothesis
• Nonparametric tests for conditional symmetry in dynamic models
• Predictive density and conditional confidence interval accuracy tests
• Regression rank scores and regression quantiles
• Subsampling
• Optimal tests for autoregressive models based on autoregression rank scores
• An Edgeworth expansion for the \(m\) out of \(n\) bootstrapped median
• Weighted empirical processes in dynamic nonlinear models.
• Nonparametric model checks for time series
• A uniform CLT for uniformly bounded families of martingale differences
• Simple resampling methods for censored regression quantiles
• Weak convergence of some classes of martingales with jumps.
• Autoregression quantiles and related rank-scores processes
• Uniform CLT for Markov chains and its invariance principle: A martingale approach
• Weak convergence and empirical processes. With applications to statistics
• An interior point algorithm for nonlinear quantile regression
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Bootstrapping Quantile Regression Estimators
• Tests of linear hypotheses based on regression rank scores
• ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
• Regression Quantiles
• Asymptotic Theory of Least Absolute Error Regression
• Uniform Central Limit Theorems
• A Conditional Kolmogorov Test
• Markov Chain Marginal Bootstrap
• An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
• A Lack-of-Fit Test for Quantile Regression
• Bootstrap Methods for Median Regression Models
• Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
• The Lindeberg-Levy Theorem for Martingales
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Inference on the Quantile Regression Process
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
• Quantile Autoregression
• Consistent specification testing for conditional moment restrictions

This page was built for publication: Specification tests of parametric dynamic conditional quantiles