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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1 …
Persistent link: https://www.econbiz.de/10009579187
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...
Persistent link: https://www.econbiz.de/10009663846
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001701901
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A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei - 2014
Persistent link: https://www.econbiz.de/10010429183
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A convergent t-statistic in spurious regressions
Sun, Yixiao - 2003
Persistent link: https://www.econbiz.de/10001753294
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Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity
Harris, David - 2013
We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i …) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a … autocorrelation consistent (HAC)-type estimator. While we show this modified test is robust to unconditional heteroskedasticity, the …
Persistent link: https://www.econbiz.de/10013079429
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Asymptotic F tests under possibly weak identi cation
Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin - University of California, San Diego / Department of … - 2019 - This version: March 9, 2019
Persistent link: https://www.econbiz.de/10011987354
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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
Arvanitis, Stelios - 2018
A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent …. These effects are cancelled out in least squares regression theory and thereby the Cauchy limit theory of Phillips and …
Persistent link: https://www.econbiz.de/10012927802
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Limit Theory for Explosive Autoregression Under Conditional Heteroskedasticity
Lee, Ji Hyung - 2017
This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t-statitiscs, heteroskedasticity-consistent t-statistics and GLS t-statistics are derived for nonstationary local-to-unity and mildly explosive roots, in which...
Persistent link: https://www.econbiz.de/10012950101
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Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance
Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758056