A Visual Goodness-of-Fit Test for Econometric Models

Ramazan Gençay and Faruk Selçuk
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Ramazan Gençay: University of Windsor
Faruk Selçuk: Bilkent University
Authors registered in the RePEc Author Service: Faruk Selcuk and Ramazan Gencay ()

Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 3, issue 3, pages 157-167

Abstract: 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 application of the proposed test to the modeling of daily stock-market returns is also presented.

Keywords: normality; hypothesis testing; probability integral transform; goodness of fit; econometric (search for similar items in EconPapers)
Date: 1998
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Working Paper: A Visual Goodness-of-Fit Test for Econometric Models (1998)
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