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Specification testing for regression models with dependent data

  • Hidalgo, J.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4PGGP8K-1/2/dcd1038812935b8e4376ce3c61e5451e
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 143 (2008)
    Issue (Month): 1 (March)
    Pages: 143-165

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    Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:143-165
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Johnston, Gordon J., 1982. "Probabilities of maximal deviations for nonparametric regression function estimates," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 402-414, September.
    3. Javier Hidalgo, 1999. "Nonparametric tests for model selection with time series data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(2), pages 365-398, December.
    4. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence," Econometrica, Econometric Society, vol. 68(6), pages 1465-1490, November.
    5. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
    6. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
    7. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution Free Goodness-of-Fit Tests for Linear Processes," STICERD - Econometrics Paper Series /2005/482, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    9. Holly, Alberto, 1982. "A Remark on Hausman's Specification Test," Econometrica, Econometric Society, vol. 50(3), pages 749-59, May.
    10. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
    11. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
    12. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
    13. Peter M. Robinson, 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
    14. Javier Hidalgo, 2007. "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series /2007/518, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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