๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Assessing Specification Errors in Stochastic Discount Factor Models

โœ Scribed by Lars Peter Hansen and Ravi Jagannathan


Book ID
121513967
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
686 KB
Volume
52
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Model Specification Tests in Nonparametr
โœ Jiti Gao; Howell Tong; Rodney Wolff ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 235 KB

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example.