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Miguel A. Delgado

Publications and source records attributed to Miguel A. Delgado.

3 recordsLinked to original sources

Conditional Distribution Specification Testing Based on Data-Dependent Partitions

This article introduces a Pearson-type goodness-of-fit test for the parametric specification of conditional distribution models with continuous responses. Under correct specification, the Rosenblatt transform is uniformly distributed on $[0,1]$ conditionally on the explanatory variables. The test exploits this characterization by cross-classifying the transformed observations and the explanatory variables according to partitions of $[0,1]$ and their support, respectively. The resulting Pearson statistic has a chi-squared limiting distribution with known degrees of freedom and detects local alternatives converging to the null at the $n^{-1/2}$ rate. These results remain valid for the class of data-dependent partitions considered. Monte Carlo simulations indicate accurate size control and favorable power relative to existing bootstrap-based tests, particularly in higher-dimensional settings.

econ.EM↗

Distribution Regression in Duration Analysis: an Application to Unemployment Spells

This article proposes inference procedures for distribution regression models in duration analysis using randomly right-censored data. This generalizes classical duration models by allowing situations where explanatory variables' marginal effects freely vary with duration time. The article discusses applications to testing uniform restrictions on the varying coefficients, inferences on average marginal effects, and others involving conditional distribution estimates. Finite sample properties of the proposed method are studied by means of Monte Carlo experiments. Finally, we apply our proposal to study the effects of unemployment benefits on unemployment duration.

econ.EM↗

Distribution free goodness-of-fit tests for linear processes

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett $T_p$-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.

math.ST↗