On The Lack Of Power Of Omnibus Specification Tests
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- Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
- Escanciano, Juan Carlos & Mayoral, Silvia, 2010.
"Data-driven smooth tests for the martingale difference hypothesis,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(8), pages 1983-1998, August.
- Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
- repec:taf:jnlbes:v:35:y:2017:i:3:p:349-358 is not listed on IDEAS
- Escanciano, Juan Carlos & Velasco, Carlos, 2010.
"Specification tests of parametric dynamic conditional quantiles,"
Journal of Econometrics,
Elsevier, vol. 159(1), pages 209-221, November.
- Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
- J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
- Kristensen, Dennis, 2011.
"Semi-nonparametric estimation and misspecification testing of diffusion models,"
Journal of Econometrics,
Elsevier, vol. 164(2), pages 382-403, October.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, Department of Economics and Business Economics, Aarhus University.
- Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
- Pedro H. C. Sant’Anna, 2017.
"Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
- Sant'Anna, Pedro H. C., 2013. "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy," MPRA Paper 48376, University Library of Munich, Germany.
- Zu, Yang & Boswijk, H. Peter, 2017.
"Consistent nonparametric specification tests for stochastic volatility models based on the return distribution,"
Journal of Empirical Finance,
Elsevier, vol. 41(C), pages 53-75.
- Zu, Y., 2015. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers 15/02, Department of Economics, City University London.
- repec:hal:journl:peer-00732534 is not listed on IDEAS
- Escanciano, Juan Carlos & Song, Kyungchul, 2010. "Testing single-index restrictions with a focus on average derivatives," Journal of Econometrics, Elsevier, vol. 156(2), pages 377-391, June.
- Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, vol. 178(P1), pages 71-79.
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