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Goodness-of-fit testing (in Russian)

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  • Igor Kheifets

    (New Economic School, Moscow, Russia)

Abstract

We consider goodness-of-fit tests based on the empirical process theory. There are two main obstacles in obtaining critical values for such tests: the parameter estimation effect and distribution dependence. We discuss solutions to these problems: martingale transformation and bootstrap. As an illustration we show how to test GARCH and diffusion models.

Suggested Citation

  • Igor Kheifets, 2011. "Goodness-of-fit testing (in Russian)," Quantile, Quantile, issue 9, pages 25-34, July.
    • Handle: RePEc:qnt:quantl:y:2011:i:9:p:25-34
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    References listed on IDEAS

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