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Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

A semiparametric model for heterogeneous panel data with fixed effects

Boneva, Lena; Linton, Oliver; Vogt, Michael - In: Journal of econometrics 188 (2015) 2, pp. 327-345

Persistent link: https://www.econbiz.de/10011500509

The effect of fragmentation in trading on market quality in the UK equity market

Boneva, Lena; Linton, Oliver; Vogt, Michael - In: Journal of applied econometrics 31 (2016) 1, pp. 192-213

Persistent link: https://www.econbiz.de/10011642141

Additive modeling of realized variance : tests for parametric specifications and structural breaks

Fengler, Matthias R.; Mammen, Enno; Vogt, Michael - 2013

Persistent link: https://www.econbiz.de/10010244914

Calendar effect and in-sample forecasting

Mammen, Enno; Martinez Miranda, Maria Dolores; Nielsen, … - In: Insurance / Mathematics & economics 96 (2021), pp. 31-52

Persistent link: https://www.econbiz.de/10012482744

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Fengler, Matthias R. - 2015

We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of...

Persistent link: https://www.econbiz.de/10013034796