A specification test for dynamic conditional distribution models with function-valued parameters
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Publication:5861041
DOI10.1080/07474938.2020.1761151zbMath1490.62112OpenAlexW3024228672MaRDI QIDQ5861041
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1761151
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) Statistical methods; risk measures (91G70)
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Bootstrap specification tests for dynamic conditional distribution models ⋮ Flexible specification testing in quantile regression models
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Cites Work
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