Multidimensional specification test based on non-stationary time series

DOI10.1007/S11749-021-00780-0MaRDI QIDQ2161017zbMATH OpenOpenAlexFDO

Authors Jun Wang, Dianpeng Wang, Yubin Tian

Publication date 4 August 2022

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-021-00780-0

zbMATH Keywords

model specification testmultidimensional responsesnon-stationary regressoroptimal rate

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
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• Bootstrap Approximations in Model Checks for Regression
• Comparing nonparametric versus parametric regression fits
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
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• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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• Nonparametric model checks for regression
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• Occupation densities
• Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
• Specification testing for nonlinear multivariate cointegrating regressions
• Specification testing in discretized diffusion models: theory and practice
• Specification testing in nonlinear and nonstationary time series autoregression
• SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
• Specification testing in nonstationary time series models
• Testing goodness-of-fit in regression via order selection criteria

Cited in

(5)

• Specification testing for nonlinear multivariate cointegrating regressions
• On portmanteau-type tests for nonlinear multivariate time series
• Testing the constancy of Spearman's rho in multivariate time series
• Optimal Tests of Noncorrelation Between Multivariate Time Series
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

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