Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
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DOI: 10.1016/j.jeconom.2018.12.015
Abstract: This paper considers functional central limit theorems for stationary absolutely regular mixing processes. Bounds for the entropy with bracketing are derived using recent results in Nickl and P\"otscher (2007). More specifically, their bracketing metric entropy… read more here.
Keywords: application; application hausman; invariance principles; test ... See more keywords