Nonparametric specification testing via the trinity of tests

DOI10.1016/j.jeconom.2017.11.008zbMath1386.62014OpenAlexW2290614219MaRDI QIDQ1706455

Abhimanyu Gupta

Publication date: 22 March 2018

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

Full work available at URL: http://repository.essex.ac.uk/20705/1/trin_website.pdf

zbMATH Keywords

likelihood ratio testWald testcentral limit theoremadaptive estimationseries estimationLagrange multiplier testspatial autoregressionincreasingly many parametersnonparametric specification testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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