Specification tests for nonlinear dynamic models
نویسندگان
چکیده
منابع مشابه
Specification Tests for Nonlinear Dynamic Models
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher moments, conditional quantiles, asymmetry, Value at Risk models, duration models, diffusion models, etc. Co...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2015
ISSN: 1368-4221
DOI: 10.1111/ectj.12040