Testing Parametric Conditional Distributions of Dynamic Models 1

  title={Testing Parametric Conditional Distributions of Dynamic Models 1},
  author={Jushan Bai},
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
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