Improving robust model selection tests for dynamic models

DOI10.1111/j.1368-423X.2010.00313.xzbMath1230.62149MaRDI QIDQ3004021

Nicholas M. Kiefer, Hwan-sik Choi

Publication date: 31 May 2011

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

zbMATH Keywords

bootstrapheteroscedasticityautocorrelationfixed-\(b\) asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

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