Goodness-of-fit testing (in Russian)
We consider goodness-of-fit tests based on the empirical process theory. There are two main obstacles in obtaining critical values for such tests: the parameter estimation effect and distribution dependence. We discuss solutions to these problems: martingale transformation and bootstrap. As an illustration we show how to test GARCH and diffusion models.
When requesting a correction, please mention this item's handle: RePEc:qnt:quantl:y:2011:i:9:p:25-34. 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: (Stanislav Anatolyev)
If references are entirely missing, you can add them using this form.