Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence

DOI10.1007/978-1-4939-6568-7_7zbMath1367.62255OpenAlexW2559910149MaRDI QIDQ4976481

Jean-Marie Dufour, Alain Trognon, Purevdorj Tuvaandorj

Publication date: 31 July 2017

Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_7

zbMATH Keywords

nonlinear model score test testing $M$-estimator pseudo-likelihood estimating function serial dependence heteroskedasticity Lagrange multiplier test $C(\alpha)$ test generalized method of moment (GMM)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

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