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A Visual Goodness-of-Fit Test for Econometric Models

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Author Info
Ramazan Gençay (University of Windsor)
Faruk Selçuk (Bilkent University)

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Abstract

This paper designs a visual goodness-of-fit test based on the probability integral transformation of the residuals of an estimated model. We illustrate the method with histograms and correlograms of transformed series for different distributions of disturbances in simulated models. An application of the proposed test to the modeling of daily stock-market returns is also presented.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 3 (1998)
Issue (Month): 3 ()
Pages: 157-167
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Handle: RePEc:bep:sndecm:3:1998:3:157-167

Note: oai:bepress:snde-1046
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Related research
Keywords: normality hypothesis testing probability integral transform goodness of fit econometric

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
  2. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1998. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," Working Papers 98-15, New York University, Leonard N. Stern School of Business, Department of Economics.
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This page was last updated on 2008-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.