Diagnostic Tests

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