Some comments on specification tests in nonparametric absolutely regular processes
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Recommendations
- Testing nonstationary and absolutely regular nonlinear time series models
- A consistent nonparametric test for linearity of \(\text{AR} (p)\) models
- Towards a nonparametric test of linearity for times series
- A K-S type test of linearity for a class of time series models
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
Cites work
- A consistent test of functional form via nonparametric estimation techniques
- A note on a specification test of independence.
- Central limit theorems for sums of α-mixing random variables
- Linearity testing using local polynomial approximation
- Mixing: Properties and examples
- Regression-type inference in nonparametric autoregression
Cited in
(12)- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
- Testing conditional independence in casual inference for time series data
- Expansion for moments of regression quantiles with applications to nonparametric testing
- Inference of time-varying regression models
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- Testing for a constant coefficient of variation in nonparametric regression
- Testing the Markov property with high frequency data
- Nonparametric regression with multiple thresholds: estimation and inference
- Goodness-of-fit tests for multiplicative models with dependent data
- Model checking for parametric regressions with response missing at random
- A bootstrap test for the comparison of nonlinear time series
- Nonparametric specification for non-stationary time series regression
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