Testing Distributional Assumptions: A GMM Approach

By Nour Meddahi, C. Bontemps. 2007

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/73f3c14060a8017a4722f60d0f00f48f8417655d

Citations in the corpus

• Backtesting value-at-risk : a GMM duration-based test (2008, unknown): “As previously mentioned, the Pearson family of distributions, including the exponential distribution, can be associated with some particular orthonormal polynomials with an expectation equal to zero (Bontemps and Meddahi, 2006).”
• Alternative tests for correct specification of conditional predictive densities (2019, unknown): “See also Bai and Ng (2005) and Bontemps and Meddahi (2012) for in-sample tests of distributional assumptions. however, when parameter estimation error is asymptotically relevant, the asymptotic distribution is not nuisance parameter free and a bootstrap procedure is proposed.”