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A Visual Goodness-of-Fit Test for Econometric Models


  • Gençay Ramazan

    () (University of Windsor)

  • Selçuk Faruk

    () (Bilkent University)


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.

Suggested Citation

  • Gençay Ramazan & Selçuk Faruk, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-13, October.
  • Handle: RePEc:bpj:sndecm:v:3:y:1998:i:3:n:3

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    References listed on IDEAS

    1. Escribano, Álvaro & Mira, Santiago, 1996. "Nonlinear cointegration and nonlinear error correction," DES - Working Papers. Statistics and Econometrics. WS 4546, Universidad Carlos III de Madrid. Departamento de Estadística.
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