Improving robust model selection tests for dynamic models

DOI10.1111/J.1368-423X.2010.00313.XMaRDI QIDQ3004021zbMATH OpenFDO

Authors Hwan-sik Choi, Nicholas M. Kiefer

Publication date 31 May 2011

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2010.00313.X

zbMATH Keywords

autocorrelationbootstrapfixed-\(b\) asymptoticsheteroscedasticity

Mathematics Subject Classification ID

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

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Cites work

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• The significance of testing empirical non-nested models
• The Stationary Bootstrap

Cited in

(5)

• 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
• Geometry of the log-likelihood ratio statistic in misspecified models
• Information theory for maximum likelihood estimation of diffusion models

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