A bootstrap test for the comparison of nonlinear time series

DOI10.1016/J.CSDA.2008.11.014zbMath1452.62627OpenAlexW2079322157MaRDI QIDQ961279

Rafael Weißbach, Dette, Holger

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.11.014

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (2)

A Bootstrap Test for the Equality of Nonparametric Regression Curves Under Dependence ⋮ An updated review of goodness-of-fit tests for regression models

Uses Software

• KernSmooth
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A consistent test of functional form via nonparametric estimation techniques
• On Cox processes and credit risky securities
• Bandwidth choice for nonparametric regression
• Functional coefficient autoregressive models for vector time series
• Linearity testing using local polynomial approximation
• Nonparametric comparison of several regression functions: Exact and asymptotic theory
• Nonparametric comparison of regression curves: An empirical process approach
• Regression-type inference in nonparametric autoregression
• Generalized autoregressive conditional heteroscedasticity
• Jackknife, bootstrap and other resampling methods in regression analysis
• Nonparametric analysis of covariance.
• Significance testing in nonparametric regression based on the bootstrap.
• Nonlinear time series. Nonparametric and parametric methods
• A selective overview of nonparametric methods in financial econometrics
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Theory of the Term Structure of Interest Rates
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Nonlinear autoregressive processes
• Un test de type Kolmogorov-Smirnov dans le cadre de comparaison de fonctions de régression
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• The Market Model of Interest Rate Dynamics
• Some comments on specification tests in nonparametric absolutely regular processes
• Comparison of Regression Curves Using Quasi-Residuals
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A generalization of some classical time series tools

This page was built for publication: A bootstrap test for the comparison of nonlinear time series