Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2001
In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first … identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to … heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …
