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

by Tauchen, George

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  1. Javier Garcia-Cicco & Roberto Pancrazi & Martin Uribe, 2010. "Real Business Cycles in Emerging Countries?," American Economic Review, American Economic Association, vol. 100(5), pages 2510-2531, December.
  2. 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.
  3. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. 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.
  5. Andrés Langebaek R. & Diego Vásquez E., 2007. "Determinantes de la actividad innovadora en la industria manufacturera colombiana," Borradores de Economia 433, Banco de la Republica de Colombia.
  6. 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.
  7. 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.
  8. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
  9. 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.
  10. 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 1-18, January.
  11. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  12. 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.
  13. Juhl, Ted & Sosa-Escudero, Walter, 2014. "Testing for heteroskedasticity in fixed effects models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 484-494.
  14. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  15. 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.
  16. Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
  17. 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.
  18. 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.
  19. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  20. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. James E. Prieger, "undated". "Conditional Moment Tests for Parametric Duration Models," Department of Economics 00-10, California Davis - Department of Economics.
  27. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  28. 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.
  29. 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).
  30. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, 05.
  31. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  32. 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.
  33. 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.
  34. 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.
  35. Asea, Patrick K. & Blomberg, Brock, 1998. "Lending cycles," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 89-128.
  36. Susanne M. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  45. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  46. 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.
  47. 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.
  48. 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).
  49. 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.
  50. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  51. 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.
  52. 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.
  53. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  54. 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.).
  55. 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 533-555, April.
  56. 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.
  57. Smith, Richard J., 2011. "Gel Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1192-1235, December.
  58. 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.
  59. 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.
  60. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  61. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  62. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
  63. Per Bjarte Solibakke, "undated". "Describing the Phelix Forward Electric-Power Market. A Stochastic Volatility Model Approach," Energy and Environmental Modeling 2007 24000057, EcoMod.
  64. 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.
  65. 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.
  66. 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.
  67. 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.
  68. 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.
  69. 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.
  70. Christian Francq & Simos G. Meintanis, 2016. "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(4), pages 389-424, May.
  71. 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.
  72. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  73. 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).
  74. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  75. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  76. 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.
  77. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  78. 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.
  79. 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.
  80. 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.
  81. Santos Silva, Joao M. C. & Windmeijer, Frank, 2001. "Two-part multiple spell models for health care demand," Journal of Econometrics, Elsevier, vol. 104(1), pages 67-89, August.
  82. 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.
  83. 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.
  84. 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.
  85. Adián R. Pagan & Hernán Sabau, 1992. "Consistency tests for heteroskedastic and risk models," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(1), pages 3-30.
  86. 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.
  87. Lavergne, Pascal & Domínguez, Manuel A. & Delgado, Miguel 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.
  88. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  89. 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.
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