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A general approach to conditional moment specification testing with projections |
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| Authors: | Xuexin Wang |
| Affiliation: | 1. The Wang Yanan Institute for Studies in Economics, Xiamen University, Fujian, China;2. The Ministry of Education, Key Laboratory of Econometrics, Xiamen University, P. R. China;3. Fujian Key Laboratory of Statistical Sciences, Xiamen University, China |
| Abstract: | |
| Keywords: | conditional moment (CM) test efficient tests estimation effect removal GARCH model specification testing |