Rate-optimal data-driven specification testing in regression models
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Cited by:
- Escanciano, J. Carlos & Velasco, Carlos, 2006.
"Testing the martingale difference hypothesis using integrated regression functions,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
- Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
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More about this item
Keywords
rate-optimal nonparametric data-driven specification test;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2001-07-23 (Econometrics)
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