Gençay, Ramazan; Selçuk, Faruk - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 3
This paper designs a visual goodness-of-fit test based on the probability integral transformation of the residuals of an estimated model. We illustrate the method with histograms and correlograms of transformed series for different distributions of disturbances in simulated models. An...