Distribution-free specification tests of conditional models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Zheng, John Xu, 2000. "A Consistent Test Of Conditional Parametric Distributions," Econometric Theory, Cambridge University Press, vol. 16(05), pages 667-691, October.
- Nikabadze, A. & Stute, W., 1997. "Model checks under random censorship," Statistics & Probability Letters, Elsevier, vol. 32(3), pages 249-259, March.
- Bai, Jushan, 1996. "Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach," Econometrica, Econometric Society, vol. 64(3), pages 597-622, May.
- Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
- 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.
- Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
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.
- 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
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:143:y:2008:i:1:p:37-55. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jeconom .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.