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A Data-Driven Nonparametric Specification Test For Dynamic Regression Models

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  • Guay, Alain
  • Guerre, Emmanuel

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  • Guay, Alain & Guerre, Emmanuel, 2006. "A Data-Driven Nonparametric Specification Test For Dynamic Regression Models," Econometric Theory, Cambridge University Press, vol. 22(04), pages 543-586, August.
  • Handle: RePEc:cup:etheor:v:22:y:2006:i:04:p:543-586_06
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    Cited by:

    1. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    2. Escanciano, Juan Carlos & Mayoral, Silvia, 2010. "Data-driven smooth tests for the martingale difference hypothesis," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1983-1998, August.
    3. George Kapetanios & Andrew P. Blake, 2007. "Testing the Martingale Difference Hypothesis Using Neural Network Approximations," Working Papers 601, Queen Mary University of London, School of Economics and Finance.
    4. Gbaguidi, David Sedo, 2011. "Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off," MPRA Paper 35482, University Library of Munich, Germany.
    5. George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
    6. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.

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