Download This PaperValidity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models
43 Pages Posted: 30 Nov 2011
Date Written: November 30, 2011
Abstract
It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving copulas of multivariate time series. The methodology is intuitive, easy to implement, and provides an interesting alternative to Khmaladze's transform or other projection methods.
Keywords: Time series, Goodness-of-fit test, Monte Carlo simulation, Parametric bootstrap, HMM, GARCH, Copulas
JEL Classification: C52, C32, C14, C15
Suggested Citation: Suggested Citation
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