Similar Search Results - EconBiz

Testing conditional moment restriction models using empirical likelihood

Berger, Yves G. - In: The econometrics journal 25 (2022) 2, pp. 384-403

Persistent link: https://www.econbiz.de/10013253841

Heteroscedasticity testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10012483796

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

What do tests for heteroskedasticity detect?

Dutta, Jayasri; Zaman, Asad - 1989

Persistent link: https://www.econbiz.de/10000771814

Testing for serial correlation in the presence of conditional heteroskedasticity

Silvapulle, Paramsothy; Evans, Merran - 1993

Persistent link: https://www.econbiz.de/10000878855

Robust tests for heteroscedasticity in a general framework

LeBreton, Marie-José; Péguin-Feissolle, Anne - In: Annales d'économie et de statistique 85 (2007), pp. 159-187

Persistent link: https://www.econbiz.de/10003690309

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

Testing for a shift in trend at an unknown date : a fixed-B analysis of heteroskedasticity autocorrelation robust OLS-based tests

Sayginsoy, Özgen; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 992-1025

Persistent link: https://www.econbiz.de/10009379760

Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1368

Persistent link: https://www.econbiz.de/10009489710

Testing mean stability of heteroskedastic time series

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

Persistent link: https://www.econbiz.de/10011312317

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