Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data

MaRDI QIDQ5066205zbMATH OpenFDO

Authors Aziz Lmakri, Abdelhadi Akharif, Amal Mellouk, Mohamed Fihri

Publication date 29 March 2022

Full work available at URL https://www.ine.pt/revstat/pdf/REVSTAT_v19-n3-06.pdf

zbMATH Keywords

asymptotic relative efficiencyfirst-order superdiagonal bilinear modellocal asymptotic normalitypanel datapseudo-Gaussian testrank test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• Optimal detection of bilinear dependence in short panels of regression data
• Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels

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