Specification testing for regression models with dependent data

DOI10.1016/j.jeconom.2007.08.013zbMath1418.62331OpenAlexW2120232414MaRDI QIDQ291110

Javier Hidalgo

Publication date: 6 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/6799/1/Specification_testing_for_regression_models_with_dependent_data.pdf

zbMATH Keywords

variable selectionnonparametric kernel regressionfrequency domain bootstrapfunctional specification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

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Bootstrap long memory processes in the frequency domain, Testing for Breaks in Regression Models with Dependent Data, An updated review of goodness-of-fit tests for regression models, A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN, Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

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