4 Citations
Multivariate specification tests based on a dynamic Rosenblatt transform
- MathematicsComput. Stat. Data Anal.
- 2018
From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts
- Economics
- 2019
This work proposes a density combination approach that weights fixed-event density forecasts according to a uniformity of the probability integral transform criterion, aiming at obtaining a correctly calibrated fixed-horizon density forecast.
From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts
- EconomicsSSRN Electronic Journal
- 2019
Surveys of professional forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no…
Internal Change Points and External Transmissions
- Economics
- 2020
The multiple change points estimation internally identifies the monetary expansion or monetary contraction, the monetary policy interchange, the currency reform breaks, and the routine operational…
References
SHOWING 1-10 OF 45 REFERENCES
Model Adequacy Checks for Discrete Choice Dynamic Models
- Mathematics, Economics
- 2013
This chapter proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in applied work. In…
Specification Tests for Nonlinear Time Series Models
- Economics
- 2008
This paper proposes a new parametric model adequacy test for possibly nonlinear and nonstationary time series models (possibly with covariates) such as generalized autoregressive conditional…
Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification
- Mathematics, Economics
- 2003
In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation…
Testing Parametric Conditional Distributions of Dynamic Models
- Mathematics, EconomicsReview of Economics and Statistics
- 2003
This paper proposes a nonparametric test for parametric conditional distributions of dynamic models. The test is of the Kolmogorov type coupled with Khmaladze's martingale transformation. It is…
A goodness-of-fit test for Poisson count processes
- Mathematics
- 2013
We are studying a novel class of goodness-of-fit tests for parametric count time series regression models. These test statistics are formed by considering smoothed versions of the empirical process…
Nonparametric tests for conditional symmetry in dynamic models
- Mathematics
- 2007
Regression-based tests for overdispersion in the Poisson model☆
- Mathematics
- 1990
Time series of count data: modeling, estimation and diagnostics
- MathematicsComput. Stat. Data Anal.
- 2006