30 citations
- Center for Economic Research and Graduate Education – Economics InstituteCZ2 papers
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math.ST2014★ 9 cited
Specification tests for nonlinear dynamic models
Igor L. Kheifets
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distri…
math.ST2012★ 5 cited
Model Adequacy Checks for Discrete Choice Dynamic Models
Igor Kheifets, Carlos Velasco
This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in…