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:	Ramazan GenÃ§ay ; Faruk SelÃ§uk
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 3.1998, 3, p. 157-167
Publisher:	Berkeley Electronic Press
Subject:	normality \| hypothesis testing \| probability integral transform \| goodness of fit \| econometric

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

Persistent link: https://www.econbiz.de/10005046507