A Visual Goodness-of-Fit Test for Econometric Models

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.

MoreLess

Year of publication:	2007
Authors:	Gençay, Ramazan ; Selçuk, Faruk
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 3.2007, 3, p. 157-167
Publisher:	Berkeley Electronic Press
Subject:	normality \| hypothesis testing \| probability integral transform \| goodness of fit \| econometric

Online Resource

Check full text access |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966238