Misspecification of noncausal order in autoregressive processes

DOI10.1016/j.jeconom.2018.03.012zbMath1452.62640OpenAlexW2796185292MaRDI QIDQ1754523

Publication date: 31 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.012

zbMATH Keywords

misspecification indirect inference non-nested hypotheses encompassing noncausal process binding function noncausal order

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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