Specification testing for regression models with dependent data
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Asymptotic distribution theory in statistics (62E20) Density estimation (62G07) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Recommendations
- Consistent bootstrap tests of parametric regression functions
- Testing for Breaks in Regression Models with Dependent Data
- Consistent Specification Testing Via Nonparametric Series Regression
- Data-driven rate-optimal specification testing in regression models
- Model specification testing of time series regressions
Cites work
- A consistent test of functional form via nonparametric estimation techniques
- A frequency domain bootstrap for ratio statistics in time series analysis
- A Remark on Hausman's Specification Test
- An alternative bootstrap to moving blocks for time series regression models
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- Autoregressive-aided periodogram bootstrap for time series
- Bootstrap methods: another look at the jackknife
- Bootstrapping empirical functions
- Comparing nonparametric versus parametric regression fits
- Consistent autoregressive spectral estimates
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Consistent Specification Testing Via Nonparametric Series Regression
- Distribution free goodness-of-fit tests for linear processes
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 3528866 (Why is no real title available?)
- scientific article; zbMATH DE number 3608897 (Why is no real title available?)
- Large-sample inference for nonparametric regression with dependent errors
- Log-periodogram regression of time series with long range dependence
- Model selection for broadband semiparametric estimation of long memory in time series
- Necessary conditions for the bootstrap of the mean
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Nonparametric regression under long-range dependent normal errors
- Nonparametric Test for Causality with Long-range Dependence
- Nonparametric tests for model selection with time series data
- NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
- On some global measures of the deviations of density function estimates
- On the Maximum Deviation of the Sample Density
- Probabilities of maximal deviations for nonparametric regression function estimates
- Sieve bootstrap for time series
- Significance testing in nonparametric regression based on the bootstrap.
- Strong approximation for long memory processes with applications
- Testing for nonlinearity in time series: the method of surrogate data
- Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques
- Tests for Hurst effect
- The jackknife and the bootstrap for general stationary observations
- Weak convergence of multivariate fractional processes
Cited in
(8)- The Bierens test under data dependence
- Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
- An updated review of goodness-of-fit tests for regression models
- scientific article; zbMATH DE number 6964057 (Why is no real title available?)
- Specification tests for lattice processes
- Testing for Breaks in Regression Models with Dependent Data
- A test for weak stationarity in the spectral domain
- Bootstrap long memory processes in the frequency domain
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