Search Results - subject:"self-normalization"

Bootstrap inference in cointegrating regressions : traditional and self-normalized test statistics

Reichold, Karsten; Jentsch, Carsten - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 970-983

Persistent link: https://www.econbiz.de/10015053513

Detecting relevant changes in the spatiotemporal mean function

Dette, Holger; Quanz, Pascal - In: Journal of Time Series Analysis 44 (2023) 5-6, pp. 505-532

For a spatiotemporal process {Xj(s,t)∣s∈S,t∈T}j=1,…,n, where S denotes the set of spatial locations and T the time domain, we consider the problem of testing for a change in the sequence of mean functions {μj(s,t)∣s∈S,t∈T}j=1,…,n. In contrast to most of the literature, we are...

Persistent link: https://www.econbiz.de/10014503388

Goodness-of-fit tests for SPARMA models with dependent error terms

Maïnassara, Yacouba Boubacar; Amir, Abdoulkarim Ilmi - In: Journal of time series econometrics 14 (2022) 2, pp. 107-140

Persistent link: https://www.econbiz.de/10013260167

Adjusted-range self-normalized confidence interval construction for censored dependent data

Sun, Jiajing; Hong, Yongmiao; Linton, Oliver; Zhao, Xiaolu - In: Economics letters 220 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013473110

A mean-difference test based on self-normalization for alternating regime index data sets

Kim, Bo Gyeong; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012509216

A self-normalization test for correlation change

Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509218

Subsampling inference for the autocorrelations of GARCH processes

McElroy, Tucker; Jach, Agnieszka - In: Journal of financial econometrics 17 (2019) 3, pp. 495-515

Persistent link: https://www.econbiz.de/10012054818

Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624

Persistent link: https://www.econbiz.de/10012179001

Ratio tests under limiting normality

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Econometric reviews 38 (2019) 7, pp. 793-813

Persistent link: https://www.econbiz.de/10012181358

Inference for time series regression models with weakly dependent and heteroscedastic errors

Rho, Yeonwoo; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 444-457

Persistent link: https://www.econbiz.de/10011391388