Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marcelo Fernandes & Breno Neri, 2010.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
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, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Gao, Jiti & Lu, Zudi & Tjostheim, Dag, 2003. "Semiparametric spatial regression: theory and practice," MPRA Paper 11991, University Library of Munich, Germany, revised Oct 2006.
- Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
- Juan Carlos Escanciano, 2006. "Joint Diagnostic Tests for Conditional Mean and Variance Specifications," Faculty Working Papers 02/06, School of Economics and Business Administration, University of Navarra.
More about this item
Keywordsmodel specification; nonpatametric and semiparametric time series econometrics;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: 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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