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considered before all use nonparametric statistics.On the technical side, we provide a novel approach to the pre-estimation … problem using Le Cam s third lemma.The resulting formula for the correction in the limiting variance as a result of pre-estimation …
Persistent link: https://www.econbiz.de/10011092694
Persistent link: https://www.econbiz.de/10011091130
What s the asymptotic null distribution of a rank-based serial autocorrelation test applied to residuals of an estimated GARCH model?What s the limiting distribution of estimated ACD parameters applied to the residuals of some first-stage modelling procedure?This paper addresses the often...
Persistent link: https://www.econbiz.de/10011091906