Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models

By Koichiro Moriya, Akihiko Noda

Published 2026-04-21

Everscope rating

1498.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Durbin Estimator with Bootstrap Wald Test. Problem types: Regression, Causal Inference, Risk Management.

arXiv:2601.21272 · Paper rankings

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