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.

Recommended Citation

Ramazan Gençay and Faruk Selçuk (1998) "A Visual Goodness-of-Fit Test for Econometric Models ", Studies in Nonlinear Dynamics & Econometrics: Vol. 3: No. 3, Article 3.
http://www.bepress.com/snde/vol3/iss3/art3

Related Files

gencay_datacode.zip (598 kB)
Data & Code