Discrepancy risk model selection test theory for comparing possibly misspecified or nonnested models

DOI10.1007/BF02294799zbMath1306.62417MaRDI QIDQ2259869

Richard M. Golden

Publication date: 5 March 2015

Published in: Psychometrika (Search for Journal in Brave)

zbMATH Keywords

model selectiontime-seriesmodel misspecificationM-estimationhypothesis-testingasymptotic statistical theory

Mathematics Subject Classification ID

Applications of statistics to psychology (62P15)

Related Items (9)

Duration dependence models for claim counts ⋮ Assessing model mimicry using the parametric bootstrap. ⋮ Statistical tests for comparing possibly misspecified and nonnested models ⋮ A Semi-Nonparametric Approach to Model Panel Count Data ⋮ Moderate deviations of marginal maximum likelihood estimator for \(m\)-dependent processes ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Extending greedy feature selection algorithms to multiple solutions ⋮ Asymptotic normality of test statistics under alternative hypotheses ⋮ Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions

Uses Software

• AS 155

Cites Work

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