Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

DOI10.1016/S0304-4076(98)00081-5zbMath1041.62506OpenAlexW2022303606WikidataQ128133175 ScholiaQ128133175MaRDI QIDQ1298462

Xiaohong Chen, Yanqin Fan

Publication date: 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00081-5

zbMATH Keywords

Kernel estimationConditional mean-variance efficiencyHilbert-valued CLTsOmitted variablesStationary bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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