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An Alternative Asymptotic Analysis of Residual-Based Statistics

Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2004

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

Adaptive estimation in time-series models

Drost, Feike C.; Werker, Bas J.M.; Klaassen, C.A.J. - Tilburg University, Center for Economic Research - 1994

Persistent link: https://www.econbiz.de/10011091130

A Simple Asymptotic Analysis of Residual-Based Statistics

Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2003

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