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Econometric Reviews Volume 36, 2017 - Issue 1-3
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Original Articles

Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Herman J. BierensPennsylvania State University, University Park, Pennsylvania, USACorrespondence[email protected]
&
Li WangPenn State College of Medicine, Hershey, Pennsylvania, USA
Pages 103-135 | Published online: 01 Mar 2016

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Read on this site (3)

Victor Troster & Dominik Wied. (2021) A specification test for dynamic conditional distribution models with function-valued parameters. Econometric Reviews 40:2, pages 109-127.
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João Henrique G. Mazzeu, Gloria González-Rivera, Esther Ruiz & Helena Veiga. (2020) A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities. Econometric Reviews 39:10, pages 971-990.
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Esfandiar Maasoumi & Robin Sickles. (2017) Peter Schmidt: Econometrician and consummate professional. Econometric Reviews 36:1-3, pages 1-5.
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Articles from other publishers (5)

Indeewara Perera & Mervyn J. Silvapulle. (2023) Bootstrap specification tests for dynamic conditional distribution models. Journal of Econometrics 235:2, pages 949-971.
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Dante Amengual, Marine Carrasco & Enrique Sentana. (2020) Testing distributional assumptions using a continuum of moments. Journal of Econometrics 218:2, pages 655-689.
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Stoyan Veselinov Stoyanov. (2019) Testing Model Adequacy – A Metric Approach. SSRN Electronic Journal.
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Indeewara Perera & Mervyn J Silvapulle. (2018) Specification Tests for Time Series Models with GARCH-Type Conditional Variance. SSRN Electronic Journal.
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Igor Kheifets. (2014) Specification Tests for Nonlinear Dynamic Models. SSRN Electronic Journal.
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