Tests of parametric models for convection

Conditional Moment Tests for Parametric Duration Models

This paper develops and compares specification tests for parametric duration models estimated with censored data. The tests are based on generalized residuals (the integrated hazard), which is exponentially distributed if the model is correctly specified. I present several conditional moment tests based on the generalized residuals: a raw moments test, a test based on Laguerre polynomials, and ...

Goodness-of-Fit Tests for Parametric Regression Models

Several new tests are proposed for examining the adequacy of a family of parametric models against large nonparametric alternatives. These tests formally check if the bias vector of residuals from parametric Ž ts is negligible by using the adaptive Neyman test and other methods. The testing procedures formalize the traditional model diagnostic tools based on residual plots. We examine the rates...

Topic 3: Tests in Parametric Models

Semi-Parametric Specification Tests for Discrete Probability Models

Loss functions play an important role in analyzing insurance portfolios. A fundamental issue in the study of loss functions involves the selection of probability models for claim frequencies. In this article, we propose a semiparametric approach based on the generalized method of moments (GMM) to solve the specification problems concerning claim frequency distributions. The GMM-based testing pr...

Parametric and Non-Parametric Tests for Multivariate Independence in IC Models

The so-called independent component (IC) model states that the observed p-vector X is generated via X = ΛZ + μ, where μ is a pvector, Λ is an invertible matrix, and the centered random vector Z has independent marginals Zi. We consider the problem of testing, on the basis of n i.i.d. copies of X = (X,X), the null hypothesis under which the multivariate marginals X and X are independent. Under a...