Distribution-free specification tests of conditional models

Distribution Free Specification Tests of Conditional Models

This article proposes a class of asymptotically distribution free speci…cation tests for parametric conditional distributions. These tests are based on a martingale transform of a proper sequential empirical process of conditionally transformed data. Standard continuous functionals of this martingale provide omnibus tests while linear combinations of the orthogonal components in its spectral re...

A New Class of Distribution-free Tests for Time Series Models Specification∗

The construction of asymptotically distribution free time series models specification tests based on estimated residual autocorrelations is considered from a general view point. Test statistics are weighted sums of the estimated residual autocorrelations, and have an asymptotic standard normal distribution when the specification is correct, despite of the estimated parameters effect. The weight...

Distribution - Free Tests in Binary Regression Models

SUMMARY This paper proposes the use of Wilcoxon rank sum, Wilcoxon signed rank, and sign statistics for testing certain hypotheses representing zero effects in the linear logistic regression model. A simulation study provides insight into the alternatives for which each test is most powerful. An example with rea 1 data is gi ven for each tes t.

Specification tests for the error distribution in GARCH models

Goodness-of-fit and symmetry tests are proposed for the innovation distribution in generalized autoregressive conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or the empirical Laplace transform) computed from properly standardized observations. A bootstrap version of the tests serves the purpose of studying the small...

Density and conditional distribution based specification analysis