Model selection tests for nonlinear dynamic models

DOI10.1111/1368-423X.t01-1-00071zbMath1010.62110MaRDI QIDQ4551769

Douglas Rivers, Quang H. Vuong

Publication date: 20 May 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

goodness-of-fitnonlinear dynamic modelsmodel selection testsmean square prediction errornonnested hypotheses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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