Sant'Anna, Pedro H. C. (2013): Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy.
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Abstract
This article proposes a new diagnostic test for dynamic count models, which is well suited for risk management. Our test proposal is of the Portmanteau-type test for lack of residual autocorrelation. Unlike previous proposals, the resulting test statistic is asymptotically pivotal when innovations are uncorrelated, but not necessarily iid nor a martingale difference. Moreover, the proposed test is able to detect local alternatives converging to the null at the parametric rate T^{1/2}, with T the sample size.The finite sample performance of the test statistic is examined by means of a Monte Carlo experiment. Finally, using a dataset on U.S. corporate bankruptcies, we apply our test proposal to check if common risk models are correctly specified.
Item Type: | MPRA Paper |
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Original Title: | Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy |
Language: | English |
Keywords: | Time Series of counts; Residual autocorrelation function; Model checking; Credit risk management. |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities G - Financial Economics > G3 - Corporate Finance and Governance G - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy ; Liquidation |
Item ID: | 48429 |
Depositing User: | Pedro Sant'Anna |
Date Deposited: | 19 Jul 2013 13:15 |
Last Modified: | 05 Oct 2019 05:45 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/48429 |
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Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy. (deposited 16 Jul 2013 22:08)
- Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy. (deposited 19 Jul 2013 13:15) [Currently Displayed]