Corpus ID: 54064534

Joint Diagnostic Tests for Conditional Mean and Variance Specifications

@inproceedings{Escanciano2006JointDT,
  title={Joint Diagnostic Tests for Conditional Mean and Variance Specifications},
  author={J. Carlos Escanciano},
  year={2006}
}
  • J. Carlos Escanciano
  • Published 2006
  • Engineering
  • This article proposes a general class of joint diagnostic tests for parametric conditional mean and variance models of possibly nonlinear and/or non-Markovian time series sequences. The new tests are based on a generalized spectral approach and, contrary to existing procedures, they do not need to choose a lag order depending on the sample size or to smooth the data. Moreover, they are robust to higher order dependence of unknown form. It turns out that the asymptotic null distributions of the… CONTINUE READING

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