Some Higher Order Theory for a Consistent Nonparametric Model Specification Test
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References listed on IDEAS
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Cited by:
- Marcelo Fernandes & Breno Neri, 2010.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
- Fernandes, Marcelo, 2001. "Nonparametric entropy-based tests of independence between stochastic processes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 413, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001.
"Testing the Markov property with ultra high frequency financial data,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
414, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Joao Amaro de Matos & Marcelo Fernandes, 2004. "Testing the Markov property with ultra-high frequency financial data," Nova SBE Working Paper Series wp462, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Fernandes, Marcelo & Grammig, Joachim, 2005.
"Nonparametric specification tests for conditional duration models,"
Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
- Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
- Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
- Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Oliver Linton & Pedro Gozalo, 1995.
"Testing Additivity in Generalized Nonparametric Regression Models,"
Cowles Foundation Discussion Papers
1106, Cowles Foundation for Research in Economics, Yale University.
- Linton, O. & Gozalo, P., 1996. "Testing Additivity in Generalized Nonparametric Regression Models," SFB 373 Discussion Papers 1996,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
- Gao, Jiti & Casas, Isabel, 2008.
"Specification testing in discretized diffusion models: Theory and practice,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 131-140, November.
- Gao, Jiti & Casas, Isabel, 2006. "Specification testing in discretized diffusion models: Theory and practice," MPRA Paper 11980, University Library of Munich, Germany, revised Aug 2007.
- Patrick Marsh, "undated". "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York.
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Keywords
Consistent test; Edgeworth expansion; kernel estimation; nonlinear regression;All these keywords.
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