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Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

Persistent link: https://www.econbiz.de/10012243279

A note on the use of partial correlation coefficients in meta-analyses

Reed, W. Robert - 2020

Persistent link: https://www.econbiz.de/10012426562

Testing mean stability of heteroskedastic time series

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2015

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Persistent link: https://www.econbiz.de/10011405222

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798

Estimation of time-varying covariance matrices for large datasets

Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...

Persistent link: https://www.econbiz.de/10012316010