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

by Tauchen, George

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  1. 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.
  2. 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.
  3. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc.
  4. 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.
  5. 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.
  6. 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.
  7. Smith, Richard J., 2011. "Gel Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1192-1235, December.
  8. 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.
  9. 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.
  10. James E. Prieger, 2003. "Conditional Moment Tests for Parametric Duration Models," Working Papers 010, University of California, Davis, Department of Economics.
  11. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers 2012-11, School of Economics and Management, University of Aarhus.
  12. CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," CORE Discussion Papers 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. 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.
  14. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
  15. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  16. 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.
  17. 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.
  18. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  19. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
  20. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Banco de Espa�a Working Papers 0929, Banco de Espa�a.
  21. 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.
  22. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
  23. 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.
  24. 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).
  25. 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.
  26. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  27. 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.
  28. 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.
  29. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
  30. Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  31. 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.
  32. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  33. Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Javier García-Cicco & Roberto Pancrazi & Martín Uribe, 2006. "Real Business Cycles in Emerging Countries?," NBER Working Papers 12629, National Bureau of Economic Research, Inc.
  40. 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.).
  41. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  42. 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.
  43. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
  44. 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.
  45. 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.
  46. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  47. Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print hal-00768191, HAL.
  48. 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).
  49. 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.
  50. 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.
  51. Kyoo il Kim, 2006. "Higher Order Bias Correcting Moment Equation for M-Estimation and its Higher Order Efficiency," Working Papers 17-2006, Singapore Management University, School of Economics.
  52. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  53. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests In Ucarima Models," Working Papers wp2014_1406, CEMFI.
  54. 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.
  55. 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.
  56. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  57. 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.
  58. Allan D. Brunner, 1997. "On The Dynamic Properties Of Asymmetric Models Of Real GNP," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 321-352, May.
  59. 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.
  60. 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.
  61. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. 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.
  67. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, School of Economics and Management, University of Aarhus.
  68. 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.
  69. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  70. 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.
  71. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  72. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  73. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  74. 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.
  75. 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.
  76. 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.
  77. 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.
  78. 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).
  79. Per Bjarte Solibakke, . "Describing the Phelix Forward Electric-Power Market. A Stochastic Volatility Model Approach," Energy and Environmental Modeling 2007 24000057, EcoMod.
  80. 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.
  81. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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