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| Tekijä: | Chen, X. Fan, Y. |
| Otsikko: | Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series |
| Lehti: | Journal of Econometrics
1999 : AUG, VOL. 91:2, p. 373-401 |
| Asiasana: | Econometrics Time series Models |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the general hypothesis studied by Robinson (1989) is modified for semi- / non-parametric time-series models. Presented is a consistent testing procedure for the modified hypothesis. As examples, there are provided consistent tests for the portfolio conditional mean-variance efficiency hypothesis, for the omitted variables in a multivariate nonparametric time-series regression model, and for the two original examples in Robinson. The asymptotic distributions under the null and Pitman local alternatives are established by invoking central limit theorems for Hilbert-valued-dependent random arrays. |
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