Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
提出了动态计数模型的新检验方法，包括综合检验和通用型检验，用于检测残差自相关，并通过蒙特卡洛实验和美国企业破产数据验证其有效性。
This article proposes new model checks for dynamic count models. Both portmanteau and omnibus-type tests for lack of residual autocorrelation are considered. The resulting test statistics are asymptotically pivotal when innovations are uncorrelated but possibly exhibit higher order serial dependence. Moreover, the tests are able to detect local alternatives converging to the null at the parametric rate <i>T</i><sup>− 1/2</sup>, with <i>T</i> the sample size. The finite sample performance of the test statistics are examined by means of Monte Carlo experiments. Using a dataset on U.S. corporate bankruptcies, the proposed tests are applied to check if different risk models are correctly specified. Supplementary materials for this article are available online.