Testing Parametric Conditional Distributions of Dynamic Models 1

@inproceedings{Bai2002TestingPC,
  title={Testing Parametric Conditional Distributions of Dynamic Models 1},
  author={Jushan Bai},
  year={2002}
}
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. The proposed test is asymptotically distribution free and has non-trivial power against root-n local alternatives. The method is applicable for various dynamic models, including autoregressive and moving average models (ARMA), generalized autoregressive conditional heteroskedasticity (GARCH), integrated GARCH… CONTINUE READING
Highly Influential
This paper has highly influenced 38 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 103 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.
78 Citations
32 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 78 extracted citations

104 Citations

0510'00'03'07'11'15
Citations per Year
Semantic Scholar estimates that this publication has 104 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 32 references

Model specification tests: a simultaneous approach.

  • A. Bera, C. Jarque
  • Journal of Econometrics,
  • 1982
Highly Influential
3 Excerpts

1973b): Distribution Theory for Tests Based on Sample Distributions Function, J.W

  • J. Durbin
  • 1973
Highly Influential
3 Excerpts

A consistent test of conditional parametric distribution

  • Zheng, J. X. 2000
  • Econometric Theory, Vol 16, 667-691. 36
  • 2000

Specification tests for continuous time models

  • Thompson, S. 2000
  • unpublished manuscript, Department of Economics…
  • 2000

Nonparametric model checks for time series

  • H. L. Koul, W. Stute 1999
  • Annals of Statistics, Vol 27, 204-236.
  • 1999

A consistent test for conditional symmetry of time series models

  • J. Bai, S. Ng 1998
  • forthcoming J. of Econometrics,
  • 1998

Asymptotics of some estimators and sequential residual empiricals in nonlinear time series

  • Koul, H. L. 1996
  • Annals of Statistics, 24, 380-404.
  • 1996

Conditional Independence restriction: testing and estimation

  • O. Linton, P. Gozalo 1996
  • Manuscript, Department of Economics, Yale…
  • 1996

Consistency and asymptotic normality of the quasi- maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models

  • Lumsdaine, R. 1996
  • Econometrica, 64, 575-596.
  • 1996

Similar Papers

Loading similar papers…