Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models
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Keywordsnonparametric test; nonlinearity; time series; functional-coefficient model; conditional moment test; naive bootstrap; wild bootstrap; conditional heteroskedasticity; GARCH; monte carlo.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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