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Specification tests of parametric dynamic conditional quantiles
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DOI：10.1016/j.jeconom.2010.06.003.png)
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This article proposes omnibus specification tests of parametric dynamic quantile models. In contrast to the existing procedures, we allow for a flexible specification, where a possible continuum of quantiles is simultaneously specified under fairly weak conditions on the serial dependence in the underlying data-generating process. Since the null limit distribution of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo study shows that the asymptotic results provide good approximations for small sample sizes. Finally, an application suggests that our methodology is a powerful alternative to standard backtesting procedures in evaluating market risk. (C) 2010 Elsevier B.V. All rights reserved.
Keyword:
Omnibus tests
Conditional quantiles
Nonlinear time series
Empirical processes
Quantile processes
Subsampling
Value-at-risk
Tail risk
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