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An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
Hong, Yongmiao; Lee, Yoon-jin - In: Econometric theory 23 (2007) 1, pp. 106-154
Persistent link: https://www.econbiz.de/10003407425
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Cointegration rank testing under conditional heteroskedasticity
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1760
Persistent link: https://www.econbiz.de/10008738343
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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 27 (2011) 6, pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
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A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun; Ullah, Aman - In: Econometric theory 29 (2013) 1, pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
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An extended constant conditional correlation GARCH model and its fourth-moment structure
He, Changli; Teräsvirta, Timo - In: Econometric theory 20 (2004) 5, pp. 904-926
Persistent link: https://www.econbiz.de/10002265252
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A convergent t-statistic in spurious regressions
Sun, Yixiao - In: Econometric theory 20 (2004) 5, pp. 943-962
Persistent link: https://www.econbiz.de/10002265261
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A new asymptotic theory for heteroskedasticity : autocorrelation robust tests
Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 21 (2005) 6, pp. 1130-1164
Persistent link: https://www.econbiz.de/10003193574
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LM tests in the presence of non-normal error distributions
Furno, Marilena - In: Econometric theory 16 (2000) 2, pp. 249-261
Persistent link: https://www.econbiz.de/10001483372
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A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators
Jong, Robert M. de - In: Econometric theory 16 (2000) 2, pp. 262-268
Persistent link: https://www.econbiz.de/10001483373
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Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size
Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 18 (2002) 6, pp. 1350-1366
Persistent link: https://www.econbiz.de/10001716907