In this note several aspects of specification tests in nonparametric models driven by an absolutely regular process are discussed, which were recently proprosed in the literature. In particular we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives...

In this note several aspects of specification tests in nonparametric models driven by an absolutely regular process are discussed, which were recently proprosed in the literature. In particular we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives...

In this note several aspects of specification tests in nonparametric models driven by an absolutely regular process are discussed, which were recently proprosed in the literature. In particular we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives...