A modified bootstrap for kernel-based specification test with heavy-tailed data

DOI10.1016/J.ECONLET.2020.108986MaRDI QIDQ2179741zbMATH OpenOpenAlexFDO

Authors Ta-Cheng Huang, Zheng Li, Hong-Jun Li

Publication date 13 May 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.108986

zbMATH Keywords

specification testwild bootstrapkernel-based test

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

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Cites work

• A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
• A central limit theorem for generalized quadratic forms
• A consistent test of functional form via nonparametric estimation techniques
• A simple consistent bootstrap test for a parametric regression function
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Comparing nonparametric versus parametric regression fits
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Consistent Specification Testing Via Nonparametric Series Regression
• Consistent model specification tests
• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
• Some higher-order theory for a consistent non-parametric model specification test
• Specification Tests in Econometrics
• The wild bootstrap, tamed at last

Cited in

(1)

• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity

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