A visual goodness-of-fit test for econometric models
Date
1998
Authors
Gençay, R.
Selçuk, F.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
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
Journal Title
Journal ISSN
Volume Title
Series
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.