This paper proposes new specification tests for conditional models with discrete responses. In particular, we can test the static and dynamic ordered choice model specifications, which is key to apply efficient maximum likelihood methods, to obtain consistent estimates of partial effects and to...

We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher...

We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher...

This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in applied work. In particular, we consider the correct specification of parametric conditional distributions in...

We consider goodness-of-fit tests based on the empirical process theory. There are two main obstacles in obtaining critical values for such tests: the parameter estimation effect and distribution dependence. We discuss solutions to these problems: martingale transformation and bootstrap. As an...

Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces links between these variables and partial sums of the equilibrium errors. This paper departs from the parametric model, using a...