A modified bootstrap for kernel-based specification test with heavy-tailed data
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.108986
Abstract: Abstract This paper provides a new resampling strategy to improve the finite sample performance of a nonparametric kernel-based specification test in the presence of heavy-tailed error terms. Based on the test statistic of Li and… read more here.
Keywords: kernel based; heavy tailed; test; specification test ... See more keywords