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.

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Year of publication:	1998
Authors:	Gençay, Ramazan ; Selçuk, Faruk
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 3.1998, 3
Publisher:	De Gruyter
Subject:	normality \| hypothesis testing \| probability integral transform \| goodness of fit \| econometric modeling \| visual tests

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1046 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620817