Nonparametric bootstrap tests for independence of generalized errors

DOI10.1111/ECTJ.12059MaRDI QIDQ5093932zbMATH OpenOpenAlexFDO

Authors Zaichao Du

Publication date 2 August 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2009-023.pdf

zbMATH Keywords

bootstrapidentificationempirical processGARCHindependencegoodness-of-fitparameter estimation uncertaintyskewed \(t\) distributiongeneralized errors

Mathematics Subject Classification ID

Statistics (62-XX)

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