A martingale-difference-divergence-based test for specification
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Publication:1673555
DOI10.1016/j.econlet.2017.05.002zbMath1400.62098OpenAlexW2612581392MaRDI QIDQ1673555
Publication date: 12 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2054
distance covariancespecification testintegrated conditional moment testmartingale difference correlationmartingale difference divergence
Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)
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A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression ⋮ A kernel-based measure for conditional mean dependence ⋮ Martingale-difference-divergence-based tests for goodness-of-fit in quantile models
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