We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

This chapter provides an overview of pseudo-out-of-sample tests of unconditional predictive ability. We begin by providing an overview of the literature, including both empirical applications and theoretical contributions. We then delineate two distinct methodologies for conducting inference:...

Traditional tests of the white noise hypothesis on the residuals from estimated models can leadto size distortion if some parameters are weakly identified. This paper develops a bootstrappedwhite noise test for serial correlation that is robust to weak identification in the parameters. Weshow...

In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed in the literature are reviewed and their deficiencies are discussed. It is argued that a measure of the explanatory power should take into account the components which are...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving...

This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty ranking across...