Specification Tests for Nonlinear Dynamic Models
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More about this item
KeywordsConditional distribution; Time series; Goodness-of-fit; Empirical process; Weak convergence; Parameter uncertainty; Probability integral transform;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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