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Testing Distributional Assumptions: A GMM Approach

  • N. MEDDAHI
  • C. BONTEMPS

In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and Scheinkman (1995) when one considers a continuous time model. These moment conditions are valid even if the observations are not a sample of a continuous time model. We treat in detail the parameter uncertainty problem when the considered process is not observed but depends on estimators of unknown parameters. We also consider the time series case and adopt a HAC approach for this purpose. This is a generalization of Bontemps and Meddahi (2002) who considered this approach for the Normal case

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 487.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nawm04:487
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  1. 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.
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