On the robustness of nonlinearity tests to moment condition failure

DOI10.1016/0304-4076(95)01791-7zbMath0873.62126OpenAlexW2046325355MaRDI QIDQ1362039

Pedro J. F. de Lima

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01791-7

zbMATH Keywords

heavy-tailed distributionssimulation studystock returnsmisspecificationconditional variancenonexistence of momentsmoment condition failuretesting nonlinearities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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