Goodness-of-fit testing (in Russian)

Igor Kheifets

Quantile, 2011, issue 9, 25-34

Abstract: We consider goodness-of-fit tests based on the empirical process theory. There are two main obstacles in obtaining critical values for such tests: the parameter estimation effect and distribution dependence. We discuss solutions to these problems: martingale transformation and bootstrap. As an illustration we show how to test GARCH and diffusion models.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://quantile.ru/09/09-IK.pdf (application/pdf)

Related works:
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:qnt:quantl:y:2011:i:9:p:25-34

Access Statistics for this article

Quantile is currently edited by Stanislav Anatolyev

More articles in Quantile from Quantile
Bibliographic data for series maintained by Stanislav Anatolyev ().