Related papers: A martingale-transform goodness-of-fit test for th…

As a crucial problem in statistics is to decide whether additional variables are needed in a regression model. We propose a new multivariate test to investigate the conditional mean independence of Y given X conditioning on some known…

We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…

There exist a number of tests for assessing the nonparametric heteroscedastic location-scale assumption. Here we consider a goodness-of-fit test for the more general hypothesis of the validity of this model under a parametric functional…

This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while…

Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the…

Residual-based goodness-of-fit tests for parametric time-series models are often complicated by parameter-estimation effects, which can alter the limiting behavior of diagnostic statistics. We propose a sample-splitting generalized spectral…

We consider a nonparametric heteroscedastic time series regression model and suggest testing procedures to detect changes in the conditional variance function. The tests are based on a sequential marked empirical process and thus combine…

This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of…

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated)…

We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…

This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…

An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…

In transformation regression models the response is transformed before fitting a regression model to covariates and transformed response. We assume such a model where the errors are independent from the covariates and the regression…

We consider the residual empirical process in random design regression with long memory errors. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for to the empirical…

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…

This paper proposes nonparametric two-sample tests for the direct comparison of the probabilities of a particular transition between states of a continuous time nonhomogeneous Markov process with a finite state space. The proposed tests are…

We apply the method of Hankel transforms to develop goodness-of-fit tests for gamma distributions with given shape parameter and unknown rate parameter, thereby extending results of Baringhaus and Taherizadeh (2010) on the exponential…

The paper proposes a specification test based on two estimates of distribution function. One is the traditional kernel distribution function estimate and the other is a newly proposed convolution-type distribution function estimate.…

There has been much interest in the nonparametric testing of conditional independence in the econometric and statistical literature, but the simplest and potentially most useful method, based on the sample partial correlation, seems to have…