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Citations for "Diagnostic testing and evaluation of maximum likelihood models"

by Tauchen, George

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  1. Escanciano, Juan Carlos & Song, Kyungchul, 2010. "Testing single-index restrictions with a focus on average derivatives," Journal of Econometrics, Elsevier, vol. 156(2), pages 377-391, June.
  2. Joao M.C. Santos Silva & Frank Windmeijer, 1999. "Two-part multiple spell models for health care demand," IFS Working Papers W99/02, Institute for Fiscal Studies.
  3. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  4. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc.
  5. Yoon-Jae Whang & Donald W.K. Andrews, 1991. "Tests of Specification for Parametric and Semiparametric Models," Cowles Foundation Discussion Papers 968, Cowles Foundation for Research in Economics, Yale University.
  6. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
  7. Skeels, Christopher L. & Vella, Francis, 1999. "A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 275-294, October.
  8. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  9. Zhongjun Qu & Yi-Ting Chen, 2010. "M Tests with a New Normalization Matrix," Boston University - Department of Economics - Working Papers Series WP2010-050, Boston University - Department of Economics.
  10. Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print hal-00768191, HAL.
  11. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  12. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(01), pages 74-113, February.
  13. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, . "Multivariate GARCH models: a survey," CORE Discussion Papers RP 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. John Mullahy & Jody L. Sindelar, 1994. "Health, Income, and Risk Aversion: Assessing Some Welfare Costs of Alcoholism and Poor Health," NBER Working Papers 4649, National Bureau of Economic Research, Inc.
  15. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
  16. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests In Ucarima Models," Working Papers wp2014_1406, CEMFI.
  17. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  18. Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Papers 781, Queen's University, Department of Economics.
  19. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI.
  20. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800 Elsevier.
  21. Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.).
  22. Armando Levy, 2000. "A Simple Consistent Non-parametric Estimator of the Regression Function in a Truncated Sample," Econometric Society World Congress 2000 Contributed Papers 0651, Econometric Society.
  23. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
  24. Manuel A. Domínguez & Ignacio N. Lobato, 2006. "A Consistent Specification Test For Models Defined By Conditional Moment Restrictions," Economics Working Papers we064111, Universidad Carlos III, Departamento de Economía.
  25. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  26. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  27. Javier Garcia-Cicco & Roberto Pancrazi & Martin Uribe, 2010. "Real Business Cycles in Emerging Countries?," American Economic Review, American Economic Association, vol. 100(5), pages 2510-31, December.
  28. Richard Smith, 2004. "GEL Criteria for Moment Condition Models," CeMMAP working papers CWP19/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  29. Riccardo LUCCHETTI & Claudia PIGINI, 2011. "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers 357, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  30. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
  31. Dennis Kristensen, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  32. Lejeune, Bernard, 2009. "A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 507-523, June.
  33. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
  34. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  35. James E. Prieger, . "Conditional Moment Tests for Parametric Duration Models," Department of Economics 00-10, California Davis - Department of Economics.
  36. D. Fabbri & C. Monfardini & R. Radice, 2004. "Testing exogeneity in the bivariate probit model: Monte Carlo evidence and an application to health economics," Working Papers 514, Dipartimento Scienze Economiche, Universita' di Bologna.
  37. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  38. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  39. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  40. Andrés Langebaek R. & Diego Vásquez E., . "Determinantes de la actividad innovadora en la industria manufacturera colombiana," Borradores de Economia 433, Banco de la Republica de Colombia.
  41. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  42. Kenneth Bollen & David Guilkey & Thomas Mroz, 1995. "Binary outcomes and endogenous explanatory variables: Tests and solutions with an application to the demand for contraceptive use in tunisia," Demography, Springer, vol. 32(1), pages 111-131, February.
  43. Artem Prokhorov & Peter Schmidt, 2009. "Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas," Working Papers 09002, Concordia University, Department of Economics.
  44. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  45. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  46. Bilgic, Abdulbaki & Florkowski, Wojciech J., 2006. "Growth Expectations and Decision to Renovate a Golf Course: An Application of a Censored Model with the Simultaneity Test," 2006 Annual meeting, July 23-26, Long Beach, CA 21446, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  47. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
  48. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
  49. Mora Rodriguez, Jhon James, 2013. "Introduccion a la teoría del consumidor
    [Introduction to Consumer Theory]
    ," MPRA Paper 48129, University Library of Munich, Germany, revised 08 Jul 2013.
  50. König, Anja, 1997. "Schätzen und Testen in semiparametrischen partiell linearen Modellen für die Paneldatenanalyse," Hannover Economic Papers (HEP) dp-208, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  51. Mora, Juan & Moro-Egido, Ana I., 2008. "On specification testing of ordered discrete choice models," Journal of Econometrics, Elsevier, vol. 143(1), pages 191-205, March.
  52. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  53. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  54. Manuel Dominguez & Ignacio Lobato, 2010. "Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM," Working Papers 1005, Centro de Investigacion Economica, ITAM.
  55. Kyoo il Kim, 2006. "Higher Order Bias Correcting Moment Equation for M-Estimation and its Higher Order Efficiency," Labor Economics Working Papers 22453, East Asian Bureau of Economic Research.
  56. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
  57. David M. Drukker, 2002. "Bootstrapping a conditional moments test for normality after tobit estimation," Stata Journal, StataCorp LP, vol. 2(2), pages 125-139, May.
  58. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  59. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods and Applications, Springer, vol. 22(4), pages 535-572, November.
  60. Susanne Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  61. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  62. Juan Mora & Ana I. Moro, 2006. "Consistent Specification Test For Ordered Discrete Choice Models," Working Papers. Serie AD 2006-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  63. Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 86-100.
  64. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  65. Juan Carlos Escanciano & Kyungchul Song, 2007. "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects," PIER Working Paper Archive 07-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  66. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
  67. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  68. Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
  69. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.).
  70. Soh, Pek Hooi, 1966- & Roberts, Edward Baer. & International Center for Research on the Management of Technology., 1998. "The effects of social capital on technological performance of the firm : a a longitudinal analysis," Working papers 174-98, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  71. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
  72. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
  73. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  74. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  75. Per Bjarte Solibakke, . "Describing the Phelix Forward Electric-Power Market. A Stochastic Volatility Model Approach," Energy and Environmental Modeling 2007 24000057, EcoMod.
  76. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  77. Teresa Aparicio & Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(2), pages 167-182.
  78. Giovanni Forchini & Grant Hillier, 2005. "Ill-conditioned problems, Fisher information and weak instruments," CeMMAP working papers CWP04/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  79. Francq, Christian & Meintanis, Simos, 2012. "Fourier--type estimation of the power garch model with stable--paretian innovations," MPRA Paper 41667, University Library of Munich, Germany.
  80. Russell Davidson & James G. MacKinnon, 1986. "Testing the Specification of Econometric Models in Regression and Non-Regression Directions," Working Papers 642, Queen's University, Department of Economics.
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