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Generalized spectral tests for the martingale difference hypothesis
Escanciano, J. Carlos; Velasco, Carlos - In: Journal of econometrics 134 (2006) 1, pp. 151-185
Persistent link: https://www.econbiz.de/10003368420
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Generalized spectral tests for the martingale difference hypothesis
Escanciano, J. Carlos; Velasco, Carlos - In: Journal of Econometrics 134 (2006) 1, pp. 151-185
Persistent link: https://www.econbiz.de/10005285947
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Testing the martingale difference hypothesis using integrated regression functions
Escanciano, J. Carlos; Velasco, Carlos - In: Computational Statistics & Data Analysis 51 (2006) 4, pp. 2278-2294
Persistent link: https://www.econbiz.de/10005165526
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Specification tests of parametric dynamic conditional quantiles
Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010774278
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Specification tests of parametric dynamic conditional quantiles
Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010570522
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - 2009
Persistent link: https://www.econbiz.de/10003989601
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - In: Econometric theory 26 (2010) 3, pp. 744-773
Persistent link: https://www.econbiz.de/10003992428
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Joint and marginal specification tests for conditional mean and variance models
Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10003722592
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On the lack of power of omnibus specification tests
Escanciano, J. Carlos - In: Econometric theory 25 (2009) 1, pp. 162-194
Persistent link: https://www.econbiz.de/10003816221
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A consistent diagnostic test for regression models using projections
Escanciano, J. Carlos - In: Econometric theory 22 (2006) 6, pp. 1030-1051
Persistent link: https://www.econbiz.de/10003396934