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

DOI10.1016/J.ECONLET.2020.108986zbMATH Open1439.62108OpenAlexW3004323738MaRDI QIDQ2179741FDOQ2179741

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

Recommendations

• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• A linear approximation to the wild bootstrap in specification testing
• On the Power of Bootstrapped Specification Tests

zbMATH Keywords

specification testwild bootstrapkernel-based test

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

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

This page was built for publication: A modified bootstrap for kernel-based specification test with heavy-tailed data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2179741)