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Hypothesis testing in semiparametric and nonparametric models for econometric time series. (English) Zbl 0681.62101
Summary: A restriction on a semiparametric or nonparametric econometric time series models determines the value of a finite-dimensional functional \(\tau\) of an infinite-dimensional nuisance function. The estimate of \(\tau\) and its estimated covariance matrix use nonparametric probability and spectral density estimation. A consequent test of the restriction is given approximate large sample justification under absolute regularity on the time series and other conditions. The methodology relates closely to recent proposals of J. L. Powell, J. H. Stock and T. M. Stocker in a forthcoming paper in Econometrica, and the author [Econometrica 56, No.4, 931-954 (1988; Zbl 0647.62100)] in cross- sectional applications, but serial dependence generally affects the test statistic’s form, as well as statistical theory.

MSC:
62P20 Applications of statistics to economics
62G10 Nonparametric hypothesis testing
62G05 Nonparametric estimation
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