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Generalized spectral testing for multivariate continuous-time models

Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 164 (2011) 2, pp. 268-293

Persistent link: https://www.econbiz.de/10009301912

A unified approach to validating univariate and multivariate conditional distribution models in time series

Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44

Persistent link: https://www.econbiz.de/10010254990

Characteristic function based testing for conditional independence : a nonparametric regression approach

Wang, Xia; Hong, Yongmiao - In: Econometric theory 34 (2018) 4, pp. 815-849

Persistent link: https://www.econbiz.de/10011951432

Out-of-sample performance of discrete-time spot interest rate models

Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 457-473

Persistent link: https://www.econbiz.de/10002374062

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901

Persistent link: https://www.econbiz.de/10002876743

On multiple structural breaks in distribution : an empirical characteristic function approach

Fu, Zhonghao; Hong, Yongmiao; Wang, Xia - In: Econometric theory 39 (2023) 3, pp. 534-581

Persistent link: https://www.econbiz.de/10014306649

Estimating and Testing for Multiple Distributional Structural Breaks via a Characteristic Function Approach

Fu, Zhonghao - 2020

We estimate and test for multiple structural breaks in distribution with unknown break dates via a characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in...

Persistent link: https://www.econbiz.de/10012838880