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Testing time series data compatibility for benchmarking

Quennevillle, Benoît; Gagné, Christian - In: International journal of forecasting 29 (2013) 4, pp. 754-766

Persistent link: https://www.econbiz.de/10010221283

Invariant tests based on M-estimators, estimating functions, and the generalized method of moments

Dufour, Jean-Marie; Trognon, Alain; Tuvaandorj, Purevdorj - In: Econometric reviews 36 (2017) 1/3, pp. 182-204

Persistent link: https://www.econbiz.de/10011795165

Nonparametric specification testing via the trinity of tests

Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 169-185

Persistent link: https://www.econbiz.de/10011974652

A note on the Bickel-Rosenblatt test in autoregressive time series

Bachmann, Dirk; Dette, Holger - 2004

In a recent paper Lee and Na (2001) introduced a test for a parametric form of the distribution of the innovations in autoregressive models, which is based on the integrated squared error of the nonparametric density estimate from the residuals and a smoothed version of the parametric fit of the...

Persistent link: https://www.econbiz.de/10010516922

Shrinkage of variance for minimum distance based tests

Chaudhuri, Saraswata; Renault, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 328-351

Persistent link: https://www.econbiz.de/10011373279

Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models

Andrews, Isaiah; Mikusheva, Anna - In: Quantitative economics : QE ; journal of the … 6 (2015) 1, pp. 123-152

Persistent link: https://www.econbiz.de/10011316525

Asymptotic inference in multiple-threshold double autoregressive models

Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - In: Journal of econometrics 189 (2015) 2, pp. 415-427

Persistent link: https://www.econbiz.de/10011504598

Testing serial dependence in time series models of counts against some INARMA alternatives

Jung, Robert; Tremayne, Andrew R. - 2001

Persistent link: https://www.econbiz.de/10010457725

A simple spatial dependence test robust to local and distributional misspecifications

Fang, Ying; Park, Sung Y.; Zhang, Jinfeng - In: Economics letters 124 (2014) 2, pp. 203-206

Persistent link: https://www.econbiz.de/10010493724

Estimating aggregate autoregressive processes when only macro data are available

Jondeau, Eric; Pelgrin, Florian - In: Economics letters 124 (2014) 3, pp. 341-347

Persistent link: https://www.econbiz.de/10010493972