Chen, Bin; Hong, Yongmiao - In: Journal of Econometrics 178 (2014) P1, pp. 22-44
develop a new class of generalized Cramer–von Mises (GCM) specification tests for time series conditional distribution models … distribution models in a unified framework. They exploit the information in the joint conditional distribution of underlying …. Unlike the existing methods in the literature, the proposed GCM tests cover both univariate and multivariate conditional …