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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Testing conditional independence via empirical likelihood
Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10010497148
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A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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Nonparametric tests for tail monotonicity
Berghaus, Betina; Bücher, Axel - In: Journal of econometrics 180 (2014) 2, pp. 117-126
Persistent link: https://www.econbiz.de/10010433404
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - 2013
Persistent link: https://www.econbiz.de/10009793510
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Nonparametric tests for tail monotonicity
Berghaus, Betina; Bücher, Axel - 2013
Persistent link: https://www.econbiz.de/10009716299
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Testing conditional independence restrictions
Linton, Oliver; Gozalo, Pedro L. - In: Econometric reviews 33 (2014) 5/6, pp. 523-552
Persistent link: https://www.econbiz.de/10010360794
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Specification test for conditional distribution with functional data
Ferraty, Frederic; Quintela del Río, Alejandro; Vieu, … - In: Econometric theory 28 (2012) 2, pp. 363-386
Persistent link: https://www.econbiz.de/10009520944
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Asymptotic Refinements of a Fully Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests of Extremum Estimators
Camponovo, Lorenzo - 2015
We study the asymptotic refinements of a fully nonparametric bootstrap approach for quasi-likelihood ratio type tests of nonlinear restrictions. This bootstrap method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing...
Persistent link: https://www.econbiz.de/10013033497
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Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests
Camponovo, Lorenzo - 2011
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for...
Persistent link: https://www.econbiz.de/10014178027