Joint and marginal specification tests for conditional mean and variance models

Journal of Econometrics

Volumn 143, Issue 1, 2008, Pages 74-87

  Carlos Escanciano, J ^a  

^a INDIANA UNIVERSITY   (United States)

Author keywords

Diagnostic tests; Generalized spectral analysis; Model checks; Nonlinear time series; Volatility model; Wild bootstrap

Indexed keywords

DATA ACQUISITION; MATHEMATICAL MODELS; MODEL CHECKING; NONLINEAR ANALYSIS; SPECTRUM ANALYSIS;

DATA GENERATING PROCESSES; DIAGNOSTIC TESTS; NONLINEAR TIME SERIES; VOLATILITY MODELS; WILD BOOTSTRAP;

TIME SERIES ANALYSIS;

EID: 38349008682     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.08.010     Document Type: Article

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