Misspecified semiparametric model selection with weakly dependent observations

Francesco Bravo

Journal of Time Series Analysis, 2022, vol. 43, issue 4, 558-586

Abstract: This article proposes a general methodology to estimate and discriminate (select) between two possibly misspecified semiparametric models with weakly dependent observations. Monte Carlo evidence and an empirical application to the well‐known three factor model suggest that the proposed methodology has competitive finite sample properties and is useful in practice.

Date: 2022
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https://doi.org/10.1111/jtsa.12628

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:43:y:2022:i:4:p:558-586

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