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Title:

A corrected Clarke test for model selection and beyond

Document type:
Zeitschriftenaufsatz
Author(s):
Brück, F., Fermanian, J.-D. and Min, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
We introduce a large family of model selection tests based on the expectation of an arbitrary, possibly non-smooth, parametric criterion function of the data. The considered methodology is illustrated for several econometric problems, including linear and quantile regression. It covers the case of strictly locally non-nested models and some overlapping models. The asymptotic theory of the proposed test statistic is stated. A general exchangeable bootstrap scheme allows the evaluation of its lim...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Econometrics
Journal listet in FT50 ranking:
nein
Year:
2022
Fulltext / DOI:
doi:10.1016/j.jeconom.2021.12.013
Status:
Preprint / submitted
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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