Nonparametric tests for model selection with time series data

DOI10.1007/BF02595876MaRDI QIDQ1969429zbMATH OpenOpenAlexFDO

Authors Javier Hidalgo

Publication date 13 June 2000

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02595876

zbMATH Keywords

dimension reductiongoodness-of-fit testskernel curve estimationtime series regression

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A note on variable selection in nonparametric regression with dependent data
• Nonparametric specification testing for nonlinear time series with nonstationarity
• Specification testing in nonstationary time series models
• Semiparametric Non-Linear Time Series Model Selection
• Nonparametric Selection of Regressors: The Nonnested Case

Cites work

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Cited in

(7)

• A note on variable selection in nonparametric regression with dependent data
• A nonnested approach to testing continuous time models against discrete alternatives
• Nonparametric model checks for time series
• Specification testing for regression models with dependent data
• Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
• Non-nested model selection based on the quantiles and it's application in time series
• scientific article; zbMATH DE number 5224898 (Why is no real title available?)

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