Model specification testing of time series regressions
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Cites work
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A uniform weak law of large numbers under π‐mixing with application to nonlinear least squares estimation
- Consistent model specification tests
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Large Sample Properties of Generalized Method of Moments Estimators
- Martingale Central Limit Theorems
- Misspecified models with dependent observations
- Model specification testing of time series regressions
- Non-linear regression for multiple time-series
- Non-linear time series regression
- On conditional least squares estimation for stochastic processes
- Robust methods and asymptotic theory in nonlinear econometrics
Cited in
(37)- A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS
- The Bierens test for certain nonstationary models
- Testing the Martingale Difference Hypothesis
- Dynamic misspecification in nonparametric cointegrating regression
- On the lack of power of omnibus specification tests
- Generalized spectral tests for the martingale difference hypothesis
- Peter Schmidt: Econometrician and consummate professional
- Functional form misspecification in regressions with a unit root
- Distribution-free tests for time series models specification
- scientific article; zbMATH DE number 3886925 (Why is no real title available?)
- Specification testing for regression models with dependent data
- Assessment of Model Adequacy for Markov Regression Time Series Models
- Model specification testing of time series regressions
- CONSTRAINED NON–LINEAR LEAST SQUARES
- Testing for continuous local martingales using the crossing tree
- Hypothesis testing for some time-series models: a power comparison
- Stochastically weighted average conditional moment tests of functional form
- A simple framework for nonparametric specification testing
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
- Testing the martingale difference hypothesis in high dimension
- ARMAX model specification testing, with an application to unemployment in the Netherlands
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
- A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations
- scientific article; zbMATH DE number 3881727 (Why is no real title available?)
- The Bierens test under data dependence
- A martingale-difference-divergence-based test for specification
- Distribution-free specification tests for dynamic linear models
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- A powerful nonparametric test of the effect of dementia duration on mortality
- Testing the martingale difference hypothesis using integrated regression functions
- Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
- Testing strategies for model specification
- Specification tests for lattice processes
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