SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION (Q5199498): Difference between revisions

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scientific article; zbMATH DE number 5938536

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English	SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION	scientific article; zbMATH DE number 5938536

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instance of

scholarly article

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title

SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION (English)

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zbMATH Open document ID

1219.62076

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DOI

10.1017/S0266466610000502

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published in

Econometric Theory

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publication date

16 August 2011

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Mathematics Subject Classification ID

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MaRDI publication profile

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cites work

An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative

0 references

On Bartlett correction of empirical likelihood in the presence of nuisance parameters

0 references

Nonparametric tests of linearity for time series

0 references

Combined and least squares empirical likelihood

0 references

Nonparametric smoothing and lack-of-fit tests

0 references

Nonparametric statistics for stochastic processes. Estimation and prediction.

0 references

Comparing nonparametric versus parametric regression fits

0 references

Stochastic volatility models as hidden Markov models and statistical applications

0 references

Nonparametric Transition-Based Tests for Jump Diffusions

0 references

Model specification tests in nonparametric stochastic regression models

0 references

A power comparison between nonparametric regression tests.

0 references

ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS

0 references

Bandwidth Selection in Nonparametric Kernel Testing

0 references

An equilibrium characterization of the term structure

0 references

Nonlinear Time Series

0 references

Testing conditional moment restrictions

0 references

Adaptive hypothesis testing using wavelets

0 references

Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms

0 references

An improved Bonferroni procedure for multiple tests of significance

0 references

Sieve empirical likelihood ratio tests for nonparametric functions

0 references

Empirical likelihood and general estimating equations

0 references

Generalized likelihood ratio statistics and Wilks phenomenon

0 references

A Reexamination of Diffusion Estimators With Applications to Financial Model Validation

0 references

Empirical likelihood ratio confidence regions

0 references

Empirical likelihood ratio confidence intervals for a single functional

0 references

Efficient estimation of conditional variance functions in stochastic regression

0 references

Identification of nonlinear time series from first order cumulative characteristics

0 references

Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

0 references

Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques

0 references

A simple consistent bootstrap test for a parametric regression function

0 references

Consistent model specification tests for time series econometric models

0 references

Joint and marginal specification tests for conditional mean and variance models

0 references

Empirical likelihood based hypothesis testing

0 references

Nonparametric likelihood ratio confidence bands for quantile functions from incomplete survival data

0 references

Empirical likelihood estimation and consistent tests with conditional moment restrictions

0 references

Nonparametric likelihood ratio goodness-of-fit tests for survival data

0 references

A Theory of the Term Structure of Interest Rates

0 references

Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

0 references

Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

0 references

Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions

0 references

An Empirical Likelihood Goodness-of-Fit Test for Time Series

0 references

Empirical likelihood methods with weakly dependent processes

0 references

A test for model specification of diffusion processes

0 references

Minimax testing of the hypothesis of independence for ellipsoids in \(l_ p\)

0 references

An adaptive empirical likelihood test for parametric time series regression models

0 references

On the second-order properties of empirical likelihood with moment restrictions

0 references

Linearity testing using local polynomial approximation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5199498

@@ Property / author @@
-Song Xi Chen
@@ Property / author: Song Xi Chen / rank @@
-Normal rank
@@ Property / author @@
-J. T. Gao
@@ Property / author: J. T. Gao / rank @@
-Normal rank
@@ Property / author @@
+Song Xi Chen
@@ Property / author: Song Xi Chen / rank @@
+Normal rank
@@ Property / author @@
+J. T. Gao
@@ Property / author: J. T. Gao / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
+Normal rank
@@ Property / cites work @@
+On Bartlett correction of empirical likelihood in the presence of nuisance parameters
+Normal rank
@@ Property / cites work @@
+Nonparametric tests of linearity for time series
@@ Property / cites work: Nonparametric tests of linearity for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Combined and least squares empirical likelihood
@@ Property / cites work: Combined and least squares empirical likelihood / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric smoothing and lack-of-fit tests
@@ Property / cites work: Nonparametric smoothing and lack-of-fit tests / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric statistics for stochastic processes. Estimation and prediction.
+Normal rank
@@ Property / cites work @@
+Comparing nonparametric versus parametric regression fits
+Normal rank
@@ Property / cites work @@
+Stochastic volatility models as hidden Markov models and statistical applications
+Normal rank
@@ Property / cites work @@
+Nonparametric Transition-Based Tests for Jump Diffusions
+Normal rank
@@ Property / cites work @@
+Model specification tests in nonparametric stochastic regression models
+Normal rank
@@ Property / cites work @@
+A power comparison between nonparametric regression tests.
+Normal rank
@@ Property / cites work @@
+ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
+Normal rank
@@ Property / cites work @@
+Bandwidth Selection in Nonparametric Kernel Testing
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Nonlinear Time Series
@@ Property / cites work: Nonlinear Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Testing conditional moment restrictions
@@ Property / cites work: Testing conditional moment restrictions / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive hypothesis testing using wavelets
@@ Property / cites work: Adaptive hypothesis testing using wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
+Normal rank
@@ Property / cites work @@
+An improved Bonferroni procedure for multiple tests of significance
+Normal rank
@@ Property / cites work @@
+Sieve empirical likelihood ratio tests for nonparametric functions
+Normal rank
@@ Property / cites work @@
+Empirical likelihood and general estimating equations
+Normal rank
@@ Property / cites work @@
+Generalized likelihood ratio statistics and Wilks phenomenon
+Normal rank
@@ Property / cites work @@
+A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
+Normal rank
@@ Property / cites work @@
+Empirical likelihood ratio confidence regions
@@ Property / cites work: Empirical likelihood ratio confidence regions / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical likelihood ratio confidence intervals for a single functional
+Normal rank
@@ Property / cites work @@
+Efficient estimation of conditional variance functions in stochastic regression
+Normal rank
@@ Property / cites work @@
+Identification of nonlinear time series from first order cumulative characteristics
+Normal rank
@@ Property / cites work @@
+Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques
+Normal rank
@@ Property / cites work @@
+A simple consistent bootstrap test for a parametric regression function
+Normal rank
@@ Property / cites work @@
+Consistent model specification tests for time series econometric models
+Normal rank
@@ Property / cites work @@
+Joint and marginal specification tests for conditional mean and variance models
+Normal rank
@@ Property / cites work @@
+Empirical likelihood based hypothesis testing
@@ Property / cites work: Empirical likelihood based hypothesis testing / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric likelihood ratio confidence bands for quantile functions from incomplete survival data
+Normal rank
@@ Property / cites work @@
+Empirical likelihood estimation and consistent tests with conditional moment restrictions
+Normal rank
@@ Property / cites work @@
+Nonparametric likelihood ratio goodness-of-fit tests for survival data
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
+Normal rank
@@ Property / cites work @@
+Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
+Normal rank
@@ Property / cites work @@
+Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
+Normal rank
@@ Property / cites work @@
+An Empirical Likelihood Goodness-of-Fit Test for Time Series
+Normal rank
@@ Property / cites work @@
+Empirical likelihood methods with weakly dependent processes
+Normal rank
@@ Property / cites work @@
+A test for model specification of diffusion processes
+Normal rank
@@ Property / cites work @@
+Minimax testing of the hypothesis of independence for ellipsoids in \(l_ p\)
+Normal rank
@@ Property / cites work @@
+An adaptive empirical likelihood test for parametric time series regression models
+Normal rank
@@ Property / cites work @@
+On the second-order properties of empirical likelihood with moment restrictions
+Normal rank
@@ Property / cites work @@
+Linearity testing using local polynomial approximation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5199498