A visual goodness-of-fit test for econometric models

Date
1998
Authors
Gençay, R.
Selçuk, F.
Advisor
Instructor
Source Title
Studies in Nonlinear Dynamics & Econometrics
Print ISSN
1081-1826
Electronic ISSN
1558-3708
Publisher
Walter de Gruyter GmbH
Volume
3
Issue
3
Pages
157 - 167
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
Abstract

This paper designs a visual goodness-of-fit test based on the probability integral transformation of the residuals of an estimated model. We illustrate the method with histograms and correlograms of transformed series for different distributions of disturbances in simulated models. An application of the proposed test to the modeling of daily stock-market returns is also presented.

Course
Other identifiers
Book Title
Keywords
Normality, Hypothesis testing, Probability integral transform, Goodness of fit, Econometric modeling, Visual tests
Citation
Published Version (Please cite this version)