SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION (Q5199498)

scientific article; zbMATH DE number 5938536

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English	SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION	scientific article; zbMATH DE number 5938536

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instance of

scholarly article

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title

SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION (English)

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zbMATH Open document ID

1219.62076

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DOI

10.1017/S0266466610000502

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published in

Econometric Theory

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publication date

16 August 2011

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Mathematics Subject Classification ID

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MaRDI publication profile

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cites work

An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative

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Nonlinear Time Series

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Sieve empirical likelihood ratio tests for nonparametric functions

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Empirical likelihood ratio confidence regions

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Empirical likelihood ratio confidence intervals for a single functional

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Efficient estimation of conditional variance functions in stochastic regression

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Identification of nonlinear time series from first order cumulative characteristics

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Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

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Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques

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A simple consistent bootstrap test for a parametric regression function

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Consistent model specification tests for time series econometric models

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Joint and marginal specification tests for conditional mean and variance models

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Empirical likelihood based hypothesis testing

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Nonparametric likelihood ratio confidence bands for quantile functions from incomplete survival data

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Empirical likelihood estimation and consistent tests with conditional moment restrictions

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Nonparametric likelihood ratio goodness-of-fit tests for survival data

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A Theory of the Term Structure of Interest Rates

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Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

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Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions

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An Empirical Likelihood Goodness-of-Fit Test for Time Series

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Minimax testing of the hypothesis of independence for ellipsoids in \(l_ p\)

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On the second-order properties of empirical likelihood with moment restrictions

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Linearity testing using local polynomial approximation

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full work available at URL

https://doi.org/10.1017/s0266466610000502

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OpenAlex ID

W2021577323

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Sitelinks

Mathematics(1 entry)

mardi Publication:5199498