This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve

We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown parameters on each simulated Monte-Carlo sample - and...

Testing data for conformity to Benford's law is used not only by auditors exploiting a numerical phenomenon to detect fraudulently reported data. Operationally goodness-of-fit tests are used to conclude if data that should, does indeed comply with Benford's law. Naturally, not all statistical...

This paper provides empirical results supporting the theoretical ones by the first author on backtesting long-horizon distributional forecasts. The problem is quite general but for us it is motivated by the regulatory requirement of backtesting evolution models used in the measurement of...

We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, where structural parameters may not be identified...