Testing distributional assumptions: A GMM aproach
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Other versions of this item:
- Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse.
- N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
References listed on IDEAS
- Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf, 1998.
"Simulation-based finite sample normality tests in linear regressions,"
Royal Economic Society, vol. 1(Conferenc), pages 154-173.
- DUFOUR, Jean-Marie & FARHAT, Abdeljelil & GARDIOL, Lucien, 1998. "Simulation-Based Finite-Sample Normality Tests in Linear Regressions," Cahiers de recherche 9811, Universite de Montreal, Departement de sciences economiques.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Barbara Rossi & Tatevik Sekhposyan, 2014.
"Alternative tests for correct specification of conditional predictive densities,"
Economics Working Papers
1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
- Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona Graduate School of Economics.
- Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
- Corradi, Valentina & Swanson, Norman R., 2006.
"Predictive density and conditional confidence interval accuracy tests,"
Journal of Econometrics,
Elsevier, vol. 135(1-2), pages 187-228.
- Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
- Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.
- repec:eee:ecofin:v:42:y:2017:i:c:p:393-420 is not listed on IDEAS
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
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Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Mencía, Javier & Sentana, Enrique, 2015.
"Volatility-related exchange traded assets: an econometric investigation,"
CEPR Discussion Papers
10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
- Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
- Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
- Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
- Ryan Janicki & Tucker S. McElroy, 2016. "Hermite expansion and estimation of monotonic transformations of Gaussian data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 207-234, March.
- Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
More about this item
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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