Related papers: Specification tests for nonlinear dynamic models
Novel significance tests are proposed for the quite general additive concurrent model formulation without the need of model, error structure preliminary estimation or the use of tuning parameters. Making use of the martingale difference…
We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…
Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical…
We propose a novel algorithm for testing the hypothesis of nonstationarity in complex-valued signals. The implementation uses both the bootstrap and the Fast Fourier Transform such that the algorithm can be efficiently implemented in…
Models for heteroskedastic data are relevant in a wide variety of applications ranging from financial time series to environmental statistics. However, the topic of modeling the variance function conditionally has not seen near as much…
We examine the problem of variance components testing in general mixed effects models using the likelihood ratio test. We account for the presence of nuisance parameters, i.e. the fact that some untested variances might also be equal to…
We consider semiparametric transformation models, where after pre-estimation of a parametric transformation of the response the data are modeled by means of nonparametric regression. We suggest subsequent procedures for testing lack-of-fit…
This paper develops valid bootstrap inference methods for the dynamic short panel threshold regression. We show that the standard nonparametric bootstrap is inconsistent for the first-differenced generalized method of moments (GMM)…
Diagnostic accuracy studies assess sensitivity and specificity of a new index test in relation to an established comparator or the reference standard. The development and selection of the index test is usually assumed to be conducted prior…
This paper presents a probabilistic model validation methodology for nonlinear systems in time-domain. The proposed formulation is simple, intuitive, and accounts both deterministic and stochastic nonlinear systems with parametric and…
We present a novel robust control framework for continuous-time, perturbed nonlinear dynamical systems with uncertainty that depends nonlinearly on both the state and control inputs. Unlike conventional approaches that impose structural…
This paper studies the propagation of finite-sample uncertainty under nonlinear transformations commonly used in statistical decision systems. In particular, we consider process capability indices, which are widely used in manufacturing…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…
Temporal dependence and the resulting autocovariances in time series data can introduce bias into ANOVA test statistics, thereby affecting their size and power. This manuscript accounts for temporal dependence in ANOVA and develops a test…
We propose a bootstrap-based test to detect a mean shift in a sequence of high-dimensional observations with unknown time-varying heteroscedasticity. The proposed test builds on the U-statistic based approach in Wang et al. (2022), targets…
This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…
Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separately these two aspects. Here we address the issue of…
To use control charts in practice, the in-control state usually has to be estimated. This estimation has a detrimental effect on the performance of control charts, which is often measured for example by the false alarm probability or the…