Testing distributional assumptions using a continuum of moments
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DOI: 10.1016/j.jeconom.2020.04.033
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- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
References listed on IDEAS
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Citations
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Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022.
"Score-type tests for normal mixtures,"
Working Papers
wp2022_2213, CEMFI.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
- Ron Mittelhammer & George Judge & Miguel Henry, 2022.
"An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses,"
Econometrics, MDPI, vol. 10(1), pages 1-19, January.
- Ron Mittelhammer & George Judge & Miguel Henry, 2022. "An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses," Papers 2201.06647, arXiv.org.
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More about this item
Keywords
Characteristic function; Complex Gaussian process; Consistent tests; Continuum of moment conditions; Goodness-of-fit; GMM; Tikhonov regularization;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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