Specification testing for regression models with dependent data

DOI10.1016/j.jeconom.2007.08.013zbMath1418.62331MaRDI QIDQ291110

Javier Hidalgo

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

zbMATH Keywords

variable selection; nonparametric kernel regression; frequency domain bootstrap; functional specification

Mathematics Subject Classification ID

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

Related Items

Testing for Breaks in Regression Models with Dependent Data, A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN, An updated review of goodness-of-fit tests for regression models, Bootstrap long memory processes in the frequency domain, Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

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