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dc.contributor.author Escanciano, Juan Carlos
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2008-09-09T19:37:51Z
dc.date.available 2008-09-09T19:37:51Z
dc.date.issued 2008-08-15
dc.identifier.uri http://ssrn.com/abstract=1228528 en
dc.identifier.uri http://www.iub.edu/~caepr/RePEc/PDF/2008/CAEPR2008-021.pdf en
dc.identifier.uri http://hdl.handle.net/2022/3189
dc.description.abstract This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many econometric applications for both time series and cross section data which require a global diagnostic tool. We study the asymptotic distribution of the test statistics under fairly weak conditions on the serial dependence in the underlying data generating process. It turns out that the asymptotic null distribution depends on the data generating process and the hypothesized model. We propose a subsampling procedure for approximating the asymptotic critical values of the tests. An appealing property of the proposed tests is that they do not require estimation of the non-parametric (conditional) sparsity function. A Monte Carlo study compares the proposed tests and shows that the asymptotic results provide good approximations for small sample sizes. Finally, an application to some European stock indexes provides evidence that our methodology is a powerful and flexible alternative to standard backtesting procedures in evaluating market risk by using information from a range of quantiles in the lower tail of returns. en
dc.format.extent 360981 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US en
dc.publisher Center for Applied Economics and Policy Research en
dc.relation.ispartofseries CAEPR Working Papers en
dc.relation.ispartofseries 2008-021 en
dc.relation.isversionof This paper is also available on SSRN and RePEc. en
dc.subject CAEPR en
dc.subject Center for Applied Economics and Policy Research en
dc.subject Omnibus tests en
dc.subject Conditional quantiles en
dc.subject Nonlinear time series en
dc.subject Empirical processes en
dc.subject Quantile processes en
dc.subject Subsampling en
dc.subject Value-at-Risk en
dc.subject Tail Risk en
dc.subject Econometrics en
dc.title Specification Tests of Parametric Dynamic Conditional Quantiles en
dc.type Working Paper en


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