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