A modified bootstrap for kernel-based specification test with heavy-tailed data
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Publication:2179741
DOI10.1016/J.ECONLET.2020.108986zbMath1439.62108OpenAlexW3004323738MaRDI QIDQ2179741
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
Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)
Cites Work
- The wild bootstrap, tamed at last
- Consistent model specification tests
- A consistent test of functional form via nonparametric estimation techniques
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- A central limit theorem for generalized quadratic forms
- A simple consistent bootstrap test for a parametric regression function
- Comparing nonparametric versus parametric regression fits
- 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
- A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
- Specification Tests in Econometrics
- Consistent Specification Testing Via Nonparametric Series Regression
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
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