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Misspecified semiparametric model selection with weakly dependent observations

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  • Francesco Bravo

Abstract

This article proposes a general methodology to estimate and discriminate (select) between two possibly misspecified semiparametric models with weakly dependent observations. Monte Carlo evidence and an empirical application to the well‐known three factor model suggest that the proposed methodology has competitive finite sample properties and is useful in practice.

Suggested Citation

  • Francesco Bravo, 2022. "Misspecified semiparametric model selection with weakly dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 558-586, July.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:4:p:558-586
    DOI: 10.1111/jtsa.12628
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