EconPapers    
Economics at your fingertips  
 

A Visual Goodness-of-Fit Test for Econometric Models

Ramazan Gencay and Faruk Selcuk

Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 3, issue 3, 1-13

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.

Date: 1998
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1046 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: A Visual Goodness-of-Fit Test for Econometric Models (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:3:y:1998:i:3:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/view/j/snde

DOI: 10.2202/1558-3708.1046

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

 
Page updated 2022-01-18
Handle: RePEc:bpj:sndecm:v:3:y:1998:i:3:n:3