Distribution-free specification tests of conditional models
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References listed on IDEAS
- Winfried Stute, 2002. "Model Checks for Generalized Linear Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(3), pages 535-545.
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- Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
- Kheifets, Igor & Velasco, Carlos, 2017.
"New goodness-of-fit diagnostics for conditional discrete response models,"
Journal of Econometrics,
Elsevier, vol. 200(1), pages 135-149.
- Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
- 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.
- Igor L. Kheifets, 2015.
"Specification tests for nonlinear dynamic models,"
Royal Economic Society, vol. 18(1), pages 67-94, February.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Ilia Negri & Yoichi Nishiyama, 2010. "Goodness of fit test for ergodic diffusions by tick time sample scheme," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 81-95, April.
- Carlos Velasco, 2013. "Comments on: Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 237-239, June.
- Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
- repec:eee:csdana:v:124:y:2018:i:c:p:1-14 is not listed on IDEAS
- Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
- Parker, Thomas, 2010.
"A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters,"
22926, University Library of Munich, Germany.
- Thomas Parker, 2010. "A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters," CeMMAP working papers CWP34/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- repec:eee:stapro:v:129:y:2017:i:c:p:348-354 is not listed on IDEAS
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