Specification testing for regression models with dependent data
DOI10.1016/j.jeconom.2007.08.013zbMath1418.62331MaRDI QIDQ291110
Publication date: 6 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/6799/1/Specification_testing_for_regression_models_with_dependent_data.pdf
variable selection; nonparametric kernel regression; frequency domain bootstrap; functional specification
62P20: Applications of statistics to economics
62G07: Density estimation
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G20: Asymptotic properties of nonparametric inference
62G09: Nonparametric statistical resampling methods
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