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Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494

Persistent link: https://www.econbiz.de/10011348962

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019

Persistent link: https://www.econbiz.de/10012062428

A complete asymptotic series for the autocovariance function of a long memory process

Lieberman, Offer (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003461413

A complete asymptotic series for the autocovariance function of a long memory process

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 147 (2008) 1, pp. 99-103

Persistent link: https://www.econbiz.de/10003783788

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