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Model specification tests : A simultaneous approach

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Cited by:

  1. Bagheri, Mahshid & Mitchelmore, Siwan & Bamiatzi, Vassiliki & Nikolopoulos, Konstantinos, 2019. "Internationalization Orientation in SMEs: The Mediating Role of Technological Innovation," Journal of International Management, Elsevier, vol. 25(1), pages 121-139.
  2. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  3. Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992. "Global financial markets and the risk premium on U.S. equity," Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
  4. Bezmen, Trisha & Depken II, Craig A., 1998. "School Characteristics and the Demand for College," Economics of Education Review, Elsevier, vol. 17(2), pages 205-210, April.
  5. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  6. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  7. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
  8. Hu, Michael Y. & Tsoukalas, Christos, 1999. "Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 407-422, November.
  9. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May.
  10. Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
  11. Anil K. Bera & Osman Doğan & Süleyman Taşpınar & Monalisa Sen, 2020. "Specification tests for spatial panel data models," Journal of Spatial Econometrics, Springer, vol. 1(1), pages 1-39, December.
  12. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  13. Frederick Nieuwland & Willem Verschoor & Christian Wolff, 2000. "Exchange risk premia in the European monetary system," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 351-360.
  14. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
  15. Arie Preminger & Uri Ben-zion & David Wettstein, 2007. "The extended switching regression model: allowing for multiple latent state variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 457-473.
  16. João Paulo Braga & Luís M. Pereira Gomes, 2016. "The Impact of the Preliminary Announcement on the Abnormal Returns of the Companies Involved in Takeover Bids in the Portuguese Stock Market between 2000 and 2014," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 5(1), pages 39-65.
  17. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  18. Dufour, Jean-Marie & Farhat, Abdeljelil & Khalaf, Lynda, 2020. "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 545-566, Décembre.
  19. Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2012. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-41.
  20. Hu, Michael Y. & Jiang, Christine X. & Tsoukalas, Christos, 1997. "The European exchange rates before and after the establishment of the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 235-253, October.
  21. Abdul Qayyum, 2000. "Demand for Real Money Balances by the Business Sector: An Econometric Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 857-873.
  22. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
  23. Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March.
  24. Michael Hu & Christine Jiang & Christos Tsoukalas, 2004. "The volatility impact of the European monetary system on member and non-member currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 313-325.
  25. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  26. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
  27. Ishmael Ackah & Mcomari Asomani, 2015. "Empirical Analysis of Renewable Energy Demand in Ghana with Autometrics," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 754-758.
  28. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
  29. Olan T. Henry & Sandy Suardi, 2004. "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series 924, The University of Melbourne.
  30. Kwan, Felix B. & Reyes, Mario G., 1997. "Price effects of stock market liberalization in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 511-522.
  31. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-281, May.
  32. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
  33. Paresh Kumar Narayan & Xiujian Peng, 2006. "An Econometric Analysis of the Determinants of Fertility for China, 1952-2000," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 165-183.
  34. Mizen, Paul, 1996. "Modeling the demand for money in the industrial and commercial companies sector in the United Kingdom," Journal of Policy Modeling, Elsevier, vol. 18(4), pages 445-467, August.
  35. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
  36. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
  37. Simes, Richard M, 1988. "Macroeconometric Model Evaluation, with Special Reference to the NIF88 Model," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 29-56, Supplemen.
  38. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
  39. Fischer, Malte, 1996. "Die Preisbildung im westdeutschen Außenhandel: Eine empirische Analyse," Kiel Working Papers 782, Kiel Institute for the World Economy (IfW Kiel).
  40. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  41. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
  42. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
  43. Sandy Suardi & O.T.Henry & N. Olekalns, "undated". "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0205, School of Economics, University of Queensland, Australia.
  44. David J. Berri, 1999. "Who is 'most valuable'? Measuring the player's production of wins in the National Basketball Association," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(8), pages 411-427.
  45. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
  46. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  47. Kaltsas, Ioannis K. & Bosch, Darrell J. & McGuirk, Anya M., 2005. "Spatial Econometrics Revisited: A Case Study of Land Values in Roanoke County," 2005 Annual meeting, July 24-27, Providence, RI 19406, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  48. Robertson, John & Orden, David, 1988. "Cointegration And Long-Run Monetary Neutrality: A Vector Error-Correction Model Of Money And Price Dynamics In New Zealand," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270149, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  49. Yu Cong & Murugappa Krishnan, 2012. "Measuring firm-specific informational efficiency without conditioning on a public announcement," Applied Financial Economics, Taylor & Francis Journals, vol. 22(21), pages 1799-1809, November.
  50. Cribari-Neto, Francisco & Ferrari, Silvia L. P., 2001. "Monotonic improved critical values for two [chi]2 asymptotic criteria," Economics Letters, Elsevier, vol. 71(3), pages 307-316, June.
  51. Joao Martines-Filho, 2006. "The Performance of Agricultural Market Advisory Services in Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 162-181.
  52. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
  53. P. Glewwe, 1997. "A test of the normality assumption in ordered probit model," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 1-19.
  54. Ioannis Kaskarelis, 1991. "Output fluctuations with bargained wages and a competitive tradeable goods sector in the economy: Empirical estimates for the group of five, 1970.1 — 1985.4," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 127(1), pages 42-72, March.
  55. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
  56. Badi Baltagi & Seuck Heun Song & Byoung Cheol Jung, 2002. "Simple Lm Tests For The Unbalanced Nested Error Component Regression Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 167-187.
  57. Bekaert, Geert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
  58. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 455-472.
  59. Michael Magdalinos, 1993. "Approximate maximum likelihood estimation in linear regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 89-104, March.
  60. Bera, A.K. & Lee, S., 1993. "Information matrix test, parameter heterogeneity and ARCH : A synthesis," Other publications TiSEM bf71e9fe-03a8-48f0-8a72-0, Tilburg University, School of Economics and Management.
  61. Kaufmann, Robert K., 1995. "A model of the world oil market for project LINK Integrating economics, geology and politics," Economic Modelling, Elsevier, vol. 12(2), pages 165-178, April.
  62. Ackah, Ishmael, 2015. "Accounting for the effect of exogenous non-Economic variables on natural gas demand in oil producing African countries," MPRA Paper 81553, University Library of Munich, Germany.
  63. Ackah, Ishmael, 2017. "Analysis OF Energy Efficiency Practices of SMEs in Ghana: An application of Product Generational Dematerialisation," MPRA Paper 77484, University Library of Munich, Germany.
  64. Riad Dahel, "undated". "Volatility in Arab Stock Market," API-Working Paper Series 9905, Arab Planning Institute - Kuwait, Information Center.
  65. Desa Daba Fufa & Belianeh Legesse Zeleke, 2018. "Forecasting the Volatility of Ethiopian Birr/Euro Exchange Rate Using Garch-Type Models," Annals of Data Science, Springer, vol. 5(4), pages 529-547, December.
  66. Lubos Briatka, 2006. "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers wp308, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  67. Stephen Dobson & John Goddard & John Wilson, 2001. "League Structure and Match Attendances in English Rugby League," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(3), pages 335-351.
  68. Jarque, C.M. & McKenzie, C.R., 1995. "Testing for multivariate normality in simultaneous equations models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 323-328.
  69. Innocent Nwaorgu & Wilson Herbert & Francis Onyilo, 2016. "A Longitudinal Assessment of Tax Reforms and National Income in Nigeria: 1971-2014," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(8), pages 1-43, August.
  70. Chau Kwong Wing, 1999. "On the issue of plan shape complexity: plan shape indices revisited," Construction Management and Economics, Taylor & Francis Journals, vol. 17(4), pages 473-482.
  71. Alejo, Javier & Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2018. "Testing for serial correlation in hierarchical linear models," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 101-116.
  72. Mario G. Reyes, 1999. "Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 1-10.
  73. Luis Fernando Melo & Héctor Núñez, 2004. "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  74. Pierdzioch, Christian, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy (IfW Kiel).
  75. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," Borradores de Economia 2153, Banco de la Republica.
  76. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  77. Miguel Cabello, 2022. "Robust Estimation of the non-Gaussian Dimension in Structural Linear Models," Papers 2212.07263, arXiv.org, revised Sep 2023.
  78. Ard Reijer & Andreas Johansson, 2019. "Nowcasting Swedish GDP with a large and unbalanced data set," Empirical Economics, Springer, vol. 57(4), pages 1351-1373, October.
  79. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
  80. Jongen, Ron & Verschoor, Willem F.C., 2008. "Further evidence on the rationality of interest rate expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 438-448, December.
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