Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
动态计数模型的残差不相关检验：公司破产应用
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…