Integrated Conditional Moment Tests for Parametric Conditional Distributions of Stationary Time Series Processes
نویسندگان
چکیده
In this paper we propose a weighted integrated conditional moment (ICM) test of the validity of parametric specifications of conditional distribution models for stationary time series, by extending the weighted ICM test of Bierens (1984) for time series regression models to complete parametric conditional distribution specifications. ∗Support for research within the Center for the Study of Auctions, Procurements, and Competition Policy (CAPCP) at Penn State has been provided by a gift from the Human Capital Foundation
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