Search Results - subject:"nuisance parameters"

Efficient estimation of regression models with user-specified parametric model for heteroskedasticty

Chaudhuri, Saraswata; Renault, Eric - 2023 - This version: September 13, 2023.

Persistent link: https://www.econbiz.de/10014373635

On the relationship between Markov switching inference and fuzzy clustering : a Monte Carlo evidence

Otranto, Edoardo; Scaffidi Domianello, Luca - 2023 - Prima edizione

Persistent link: https://www.econbiz.de/10014261239

A unified nonparametric test of transformations on distribution functions with nuisance parameters

Sun, Zhenting; Song, Xiaojun; Sun, Zhenting - 2023

Persistent link: https://www.econbiz.de/10015053826

Specification tests for GARCH processes

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021

Persistent link: https://www.econbiz.de/10012627489

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

Persistent link: https://www.econbiz.de/10012431072

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

Persistent link: https://www.econbiz.de/10012216176

Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020

Persistent link: https://www.econbiz.de/10012319222

Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020

Persistent link: https://www.econbiz.de/10012220505

Comparing predictive accuracy in the presence of a loss function shape parameter

Barendse, Sander; Patton, Andrew J. - 2019

Persistent link: https://www.econbiz.de/10012222224

Point Optimal Testing: A Survey of the Post 1987 Literature

King, Maxwell L.; Sriananthakumar, Sivagowry - Department of Econometrics and Business Statistics, … - 2015

research. Topics include tests for which all nuisance parameters have been eliminated and dealing with nuisance parameters via … multi-dimensional alternatives is also reviewed. The paper concludes with thoughts on how best to deal with nuisance … parameters under both the null and alternative hypotheses, as well as the development of a new class of point optimal test for …

Persistent link: https://www.econbiz.de/10011262823