A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where … one wants to summarize the test results for several time series in one joint test statistic and p-value. The proposed test … method can have higher power than a test for a univariate time series, especially for short time series. Therefore our test …

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four … implementations is shown tobreak down in dynamic regression models. Then the procedure based on the test statistic approachperforms …

identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification. … independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the … data for identification fail to yield correct coverage for structural functions of the model parameters when deviations …

approach is completely observation driven, rendering estimation and inference straightforward. It provides a unified framework …