Search Results - subject:"conditional Kolmogorov test"

Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models

Shen, Xiangjin; Tsurumi, Hiroki - 2011

the conditional Kolmogorov test. We use Markov chain Monte Carlo methods to obtain the Bayesian criteria and bootstrap … sampling to obtain the conditional Kolmogorov test. Two non-nested models we consider are the CIR and Vasicek models for spot …

Persistent link: https://www.econbiz.de/10010282872

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - 2003

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

Persistent link: https://www.econbiz.de/10010263212

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of …

Persistent link: https://www.econbiz.de/10010263215

Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models

Shen, Xiangjin; Tsurumi, Hiroki - Department of Economics, Rutgers University-New Brunswick - 2011

Persistent link: https://www.econbiz.de/10009372764

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 133 (2006) 2, pp. 779-806

Persistent link: https://www.econbiz.de/10003359634

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of …

Persistent link: https://www.econbiz.de/10005626676

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

Persistent link: https://www.econbiz.de/10001848652

A test for comparing multiple misspecified conditional distributions

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848671