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

by Tauchen, George

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  1. 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.
  2. 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.
  3. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
  4. 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.
  5. 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.
  6. Martinez-Espineira, Roberto, 2006. "A Box-Cox Double-Hurdle model of wildlife valuation: The citizen's perspective," Ecological Economics, Elsevier, vol. 58(1), pages 192-208, June.
  7. Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. 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.
  9. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  10. 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.
  11. Lavergne, Pascal & Delgado, Miguel A. & Domínguez, Manuel A., 1998. "Asymptotic and bootstrap specification tests of nonlinear in variable econometric models," DES - Working Papers. Statistics and Econometrics. WS 4674, Universidad Carlos III de Madrid. Departamento de Estadística.
  12. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
  18. 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.
  19. 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.
  20. Lobato, Ignacio N. & Domínguez, Manuel A., 2006. "A consistent specification test for models defined by conditional moment restrictions," UC3M Working papers. Economics we064111, Universidad Carlos III de Madrid. Departamento de Economía.
  21. Silva João M. C. Santos & Tenreyro Silvana & Windmeijer Frank, 2015. "Testing Competing Models for Non-negative Data with Many Zeros," Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 18, January.
  22. 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.
  23. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  24. James E. Prieger, . "Conditional Moment Tests for Parametric Duration Models," Department of Economics 00-10, California Davis - Department of Economics.
  25. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  26. Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
  27. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  28. 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.
  29. 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.
  30. John Mullahy & Jody L. Sindelar, 1995. "Health, Income, and Risk Aversion: Assessing Some Welfare Costs of Alcoholism and Poor Health," Journal of Human Resources, University of Wisconsin Press, vol. 30(3), pages 439-459.
  31. 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.
  32. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI.
  33. Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc.
  34. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  35. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  36. 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.).
  37. 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.
  38. 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.
  39. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  40. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
  41. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc.
  42. 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.
  43. Soderbom, Mans & Teal, Francis & Harding, Alan, 2006. "The Determinants of Survival among African Manufacturing Firms," Economic Development and Cultural Change, University of Chicago Press, vol. 54(3), pages 533-55, April.
  44. 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.
  45. 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.
  46. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers 18046, National Bureau of Economic Research, Inc.
  47. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
  48. Smith, Richard J., 2011. "Gel Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1192-1235, December.
  49. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. 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.
  51. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  52. 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).
  53. 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.
  54. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  55. 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.
  56. Susanne M. Schennach & Daniel Wilhelm, 2016. "A Simple Parametric Model Selection Test," CeMMAP working papers CWP30/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  57. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
  58. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
  59. 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;Population Association of America (PAA), vol. 32(1), pages 111-131, February.
  60. 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).
  61. Per Bjarte Solibakke, . "Describing the Phelix Forward Electric-Power Market. A Stochastic Volatility Model Approach," Energy and Environmental Modeling 2007 24000057, EcoMod.
  62. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  63. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
  64. 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).
  65. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  66. 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.
  67. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
  68. 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.
  69. Glenn Ellison & Sara Fisher Ellison, 1998. "A Simple Framework for Nonparametric Specification Testing," NBER Technical Working Papers 0234, National Bureau of Economic Research, Inc.
  70. 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.
  71. 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.
  72. 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.
  73. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  74. John F. Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis.
  75. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  76. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
  77. 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.
  78. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
  79. 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.
  80. 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.
  81. 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.
  82. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. 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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