Improving robust model selection tests for dynamic models

DOI10.1111/J.1368-423X.2010.00313.XzbMath1230.62149MaRDI QIDQ3004021

Nicholas M. Kiefer, Hwan-sik Choi

Publication date: 31 May 2011

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

zbMATH Keywords

bootstrapheteroscedasticityautocorrelationfixed-\(b\) asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

Related Items (5)

Information theory for maximum likelihood estimation of diffusion models ⋮ Geometry of the log-likelihood ratio statistic in misspecified models ⋮ A likelihood ratio test for spatial model selection ⋮ An asymptotic analysis of likelihood-based diffusion model selection using high frequency data ⋮ Robust variable selection with application to quality of life research

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