Distribution-free specification tests of conditional models

Journal of Econometrics

Volumn 143, Issue 1, 2008, Pages 37-55

  Delgado, Miguel A ^a   Stute, Winfried ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b JUSTUS LIEBIG UNIVERSITY   (Germany)

Author keywords

Conditional models; Martingale transformation; Sequential empirical process; Specification tests

Indexed keywords

MATHEMATICAL TRANSFORMATIONS; MONTE CARLO METHODS; SPECTRUM ANALYZERS;

CONDITIONAL MODELS; MARTINGALE TRANSFORMATION; SEQUENTIAL EMPIRICAL PROCESS; SPECIFICATION TESTS;

SPECIFICATIONS;

EID: 38149086147     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.08.006     Document Type: Article

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