Specification Tests for Dynamic Models Using Multipliers

24 Pages Posted: 9 Apr 2012

See all articles by Bruno Remillard

Bruno Remillard

Department of Decision Sciences, HEC Montreal

Date Written: March 25, 2012

Abstract

Extending the multiplier central limit theorem and resampling bootstrap to statistics and empirical processes of pseudo-observations, it is shown how to build asymptotically independent copies of statistics and empirical processes to perform statistical tests. Application to parametric and semi-parametric specification tests for the innovations of dynamic models are given. Finally, the performance of some multipliers-based tests is studied for testing the null hypothesis of Gaussian innovations for GARCH models.

Keywords: Multipliers, bootstrap, p-value, empirical process, pseudo-observations, time series, copula

JEL Classification: C12, C14, C15

Suggested Citation

Remillard, Bruno, Specification Tests for Dynamic Models Using Multipliers (March 25, 2012). Available at SSRN: https://ssrn.com/abstract=2028558 or http://dx.doi.org/10.2139/ssrn.2028558

Bruno Remillard (Contact Author)

Department of Decision Sciences, HEC Montreal ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada
514-340-6794 (Phone)

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