Multivariate specification tests based on a dynamic Rosenblatt transform
نویسندگان
چکیده
منابع مشابه
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The use of regression-based specification tests, such as the nR2 form of the Lagrange Multiplier test, has become quite widespread over the last 20 years. The popularization of the nR2 form of the Lagrange Multiplier (LM) test, perhaps the most widely used class of regression-based tests, has come about in large part from the ease of its application to many tests of nonlinear restrictions and i...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2018
ISSN: 0167-9473
DOI: 10.1016/j.csda.2018.01.022