Browsing Working Papers by Subject "Martingale Transform"

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Title: Specification tests for the distribution of errors in nonparametric regression: a martingale approach Author(s): MORA, Juan; PEREZ-ALONSO, Alicia Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional ...

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