Title: Multivariate specification tests based on a dynamic Rosenblatt transform
Authors: Igor Kheifets - ITAM (Mexico) [presenting]
Abstract: Parametric model adequacy tests for multivariate dynamic models are considered. We show that commonly used Kolmogorov-type tests do not take into account cross-sectional nor time dependence structure and propose a test based on multi-parameter empirical processes that overcomes these problems. We propose a simulation experiment to illustrate the properties of the tests. The tests are applied to a LSTAR-type model of joint movements of the UK output growth and interest rate spreads. Asymptotic properties of the test statistics under the null of correct specification and under the local alternative, and justification of a parametric bootstrap to obtain critical values are provided.