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Robust adaptive rate-optimal testing for the white noise hypothesis

Guay, Alain; Guerre, Emmanuel; Lazarová, Štěpána - In: Journal of Econometrics 176 (2013) 2, pp. 134-145

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007)...

Persistent link: https://www.econbiz.de/10011052265

Adaptive consistent unit-root tests based on autoregressive threshold model

Bec, Frederique; Guay, Alain; Guerre, Emmanuel - In: Journal of Econometrics 142 (2008) 1, pp. 94-133

Persistent link: https://www.econbiz.de/10005239003

Predictive tests for structural change with unknown breakpoint

Ghysels, Eric; Guay, Alain; Hall, Alastair - In: Journal of Econometrics 82 (1998) 2, pp. 209-233

Persistent link: https://www.econbiz.de/10005228945

Indirect inference and calibration of dynamic stochastic general equilibrium models

Dridi, Ramdan; Guay, Alain; Renault, Eric - In: Journal of Econometrics 136 (2007) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10005192422

Structural change tests for simulated method of moments

Ghysels, Eric; Guay, Alain - In: Journal of Econometrics 115 (2003) 1, pp. 91-123

Persistent link: https://www.econbiz.de/10005192824