• Media type: E-Article
  • Title: Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
  • Contributor: Sant'Anna, Pedro H. C.
  • imprint: American Statistical Association, 2017
  • Published in: Journal of Business & Economic Statistics
  • Language: English
  • ISSN: 0735-0015
  • Origination:
  • Footnote:
  • Description: <p>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 T-1/2 with T 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.</p>