Ley, Christophe; Swan, Yves-Caoimhin; Verdebout, Thomas - European Centre for Advanced Research in Economics and … - 2013
turnthese parametric tests into semi-parametric ones by (i) using a studentization argument (whichleads to what we call pseudo-FvML … tests) and by (ii) resorting to the invariance principle (whichleads to e_cient rank-based tests). Within each construction …