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A robust test of specification based on order statistics

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  • Marilena Furno

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File URL: http://hdl.handle.net/10.1007/s00180-010-0199-z
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Bibliographic Info

Article provided by Springer in its journal Computational Statistics.

Volume (Year): 25 (2010)
Issue (Month): 4 (December)
Pages: 707-723

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Handle: RePEc:spr:compst:v:25:y:2010:i:4:p:707-723

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Web page: http://www.springerlink.com/link.asp?id=120306

Order Information:
Web: http://link.springer.de/orders.htm

Related research

Keywords: Misspecification; Order statistics; Concomitants of order statistics; Robustness;

References

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  1. Giloni, Avi & Simonoff, Jeffrey S. & Sengupta, Bhaskar, 2006. "Robust weighted LAD regression," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3124-3140, July.
  2. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  3. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  4. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  5. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  6. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  7. Niinimaa, A. & Oja, H. & Tableman, Mara, 1990. "The finite-sample breakdown point of the Oja bivariate median and of the corresponding half-samples version," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 325-328, September.
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