Browsing by Subject "Misspecification"
Now showing items 1-2 of 2
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Article
Density ratio model selection
(2007)The density ratio model presumes that the log-likelihood ratio of two unknown densities is of some known parametric linear form. However, the choice of the functional form has an impact on both estimation and testing. The ...
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Article
Dynamic misspecification in nonparametric cointegrating regression
(2012)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...