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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

Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models

Ullah, Aman; Lee, Tae-Hwy - Centre for Development Economics, Delhi School of Economics - 2000

A unified framework for various nonparametric kernel regression estimators is presented, based on which we consider two nonparametric tests for neglected nonlinearity in time series regression models. One of them is the goodness-of-fit test of Cai, Fan, and Yao (2000) and another is the...

Persistent link: https://www.econbiz.de/10005418925

Nonparametric bootstrap specification testing in econometric models

Lee, Tae-Hwy; Ullah, Aman - In: Computer-aided econometrics, (pp. 451-477). 2003

Persistent link: https://www.econbiz.de/10002595534

Bootstrap aggregating and random forest

Lee, Tae-hwy; Ullah, Aman; Wang, Ran - In: Macroeconomic forecasting in the era of big data : …, (pp. 389-429). 2020

Persistent link: https://www.econbiz.de/10012159994

The econometric analysis of models with risk terms

Pagan, Adrian R.; Ullah, Aman - 1986

Persistent link: https://www.econbiz.de/10000701238

Semiparametric estimator of time series conditional variance

Mishra, Santosh; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 256-274

Persistent link: https://www.econbiz.de/10008736224

The second-order bias and mean squared error of estimators in time-series models

Bao, Yong; Ullah, Aman - In: Journal of econometrics 140 (2007) 2, pp. 650-669

Persistent link: https://www.econbiz.de/10003569923

Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model

Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125

Persistent link: https://www.econbiz.de/10009159106

Bias in the estimation of mean reversion in continuous-time Lévy processes

Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19

Persistent link: https://www.econbiz.de/10011432138

Robustify financial time series forecasting with bagging

Jin, Sainan; Su, Liangjun; Ullah, Aman - In: Econometric reviews 33 (2014) 5/6, pp. 575-605

Persistent link: https://www.econbiz.de/10010360787