A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS
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Publication:3408512
DOI10.1017/S0266466606060282zbMATH Open1125.62041MaRDI QIDQ3408512FDOQ3408512
Authors: Alain Guay, Emmanuel Guerre 
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Misspecified models with dependent observations
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Comparing nonparametric versus parametric regression fits
- Adaptive hypothesis testing using wavelets
- Generalized likelihood ratio statistics and Wilks phenomenon
- Data-driven rate-optimal specification testing in regression models
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Consistent Specification Testing Via Nonparametric Series Regression
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- Nonparametric bootstrap analysis with applications to demographic effects in demand functions
- Asymptotic equivalence of nonparametric regression and white noise
- Model specification testing of time series regressions
- Test of Significance Based on Wavelet Thresholding and Neyman's Truncation
- Adaptive tests of linear hypotheses by model selection
- Data-driven testing the fit of linear models
- Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
- Goodness-of-Fit Tests for Parametric Regression Models
- A Parametric Approach to Flexible Nonlinear Inference
- Adaptive minimax testing in the discrete regression scheme
Cited In (8)
- Robust adaptive rate-optimal testing for the white noise hypothesis
- A neural network method for nonlinear time series analysis
- Data-driven rate-optimal specification testing in regression models
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Goodness-of-fit tests for functional data
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- Data-driven smooth tests for the martingale difference hypothesis
- Specification tests of parametric dynamic conditional quantiles
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