most citedA loss function approach to model specification testing and its relative efficiency

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math.ST2013★ 16 cited

A loss function approach to model specification testing and its relative efficiency

Yongmiao Hong, Yoon-Jin Lee

The generalized likelihood ratio (GLR) test proposed by Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193] and Fan and Yao [Nonlinear Time Series: Nonparametric and Parametric…