Validity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving copulas of multivariate time series. The methodology is intuitive, easy to implement, and provides an interesting alternative to Khmaladze's transform or other projection methods

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Year of publication:	2011
Authors:	Remillard, Bruno
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Bootstrap-Verfahren \| Bootstrap approach \| Statistischer Test \| Statistical test \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (43 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2011 erstellt
Other identifiers:	10.2139/ssrn.1966476 [DOI]
Classification:	C52 - Model Evaluation and Testing ; C32 - Time-Series Models ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013117934