Specification tests for nonlinear dynamic models
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Publication:5091815
DOI10.1111/ECTJ.12040OpenAlexW3125394553MaRDI QIDQ5091815FDOQ5091815
Publication date: 27 July 2022
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.3533
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Cited In (9)
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- A robust score-driven filter for multivariate time series
- A specification test for dynamic conditional distribution models with function-valued parameters
- Adaptive Lasso for vector Multiplicative Error Models
- Multivariate specification tests based on a dynamic Rosenblatt transform
- New goodness-of-fit diagnostics for conditional discrete response models
- Analysis of the conditional stock-return distribution under incomplete specification.
- Specification tests for non-Gaussian structural vector autoregressions
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