A general approach to conditional moment specification testing with projections
DOI10.1080/07474938.2015.1032165zbMATH Open1490.62488OpenAlexW2301217824MaRDI QIDQ5034243FDOQ5034243
Authors: Xuexin Wang 
Publication date: 24 February 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2015.1032165
Recommendations
efficient testsGARCH model specification testingconditional moment (CM) testestimation effect removal
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)
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