Testing distributional assumptions using a continuum of moments

DOI10.1016/j.jeconom.2020.04.033zbMath1464.62223OpenAlexW2908327070WikidataQ114666101 ScholiaQ114666101MaRDI QIDQ2227064

Dante Amengual, Enrique Sentana, Marine Carrasco

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.033

zbMATH Keywords

characteristic functionTikhonov regularizationgoodness-of-fitGMMconsistent testscontinuum of moment conditionscomplex Gaussian process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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