Search Results - subject:"nonparametric specification test"

Testing normality of latent variables in the polychoric correlation

Almeida, Carlos; Mouchart, Michel - In: Statistica 74 (2014) 1, pp. 3-22

This paper explores the feasibility of simultaneously facing three sources of complexity in Bayesian testing, namely (i) testing a parametric against a non-parametric alternative (ii) adjusting for partial observability (iii) developing a test under a Bayesian encompassing principle. Testing the...

Persistent link: https://www.econbiz.de/10011124502

JUMP, NON-NORMAL ERROR DISTRIBUTION AND STOCK PRICE VOLATILITY — A NONPARAMETRIC SPECIFICATION TEST

RAHMAN, MOHAMMAD MASUDUR; ARA, LAILA ARJUMAN; ZHENG, … - In: The Singapore Economic Review (SER) 54 (2009) 01, pp. 101-121

-jump model with Normal, and Student t-distribution assumption as well as nonparametric specification test of these models. We fit … specification test at 5% significance level. It is suggested that these four models can capture the main characteristics of Dhaka … volatility characteristics. We find that RW-GARCH-t, RW-AGARCH-t RW-IGARCH-t and RW-GARCH-M-t can pass the nonparametric …

Persistent link: https://www.econbiz.de/10004988545