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On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function : the case of unknown parameters

Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - 2007

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...

Persistent link: https://www.econbiz.de/10003746039

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Camponovo, Lorenzo - 2011

We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions …. Unlike existing parametric bootstrap procedures for Quasi-Likelihood Ratio type tests, our procedure constructs bootstrap … samples in a fully nonparametric way. We study the higher order properties of our nonparametric block bootstrap and show the …

Persistent link: https://www.econbiz.de/10014178027

Bootstrapping the Conditional Moment Test for Parametric Duration Models

Prieger, James E. - 2005

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

Persistent link: https://www.econbiz.de/10014067369

A higher-order correct fast moving-average bootstrap for dependent data

La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020

We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment …-applied first- and higher-order correct methods. The results provide numerical evidence that the novel bootstrap yields higher …

Persistent link: https://www.econbiz.de/10012179669

Testing for Benford's law: a Monte Carlo comparison of methods

Joenssen, Dieter William - In: SSRN eLibrary (2015), pp. 1-21

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...

Persistent link: https://www.econbiz.de/10012822437

A unified approach to estimating and testing income distributions with grouped data

Chen, Yi-ting - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 438-455

Persistent link: https://www.econbiz.de/10012249172

Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas

Can, Sami - 2014

Let (X1, Y1), … , (Xn, Yn) be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima max( Xi) and max(Yi) is then characterized by the...

Persistent link: https://www.econbiz.de/10013051730

A Simple Out-of-Sample Test for the Martingale Difference Hypothesis

Pincheira, Pablo - 2013

We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess...

Persistent link: https://www.econbiz.de/10013079363

A robust test for monotonicity in asset returns

Taufemback, Cleiton Guollo; Troster, Victor; Shahbaz, … - In: Journal of time series econometrics 14 (2022) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10013260108