Diagnostic Tests

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Definition

Diagnostic Tests are Quantitative Tests performed after a model has been estimated, primarily in order to examine the adequacy of model specification.

Usage

The nature of diagnostic tests depends on the model being estimated.

Examples

When estimating econometric models, diagnostic tests are focusing on the analysis of residual errors
Classification models may employ a variety of Discriminatory Power metrics etc.
Model Selection may be based on Information Criteria

Issues and Challenges

Variety of tests with convention rather than intrinsic superiority as to the optimal set of diagnostics
Empirical levels (also set by convention) for accepting test results

References