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Optimal predictive tests

Guay, Alain - In: Econometric reviews 22 (2003) 4, pp. 379-410

Persistent link: https://www.econbiz.de/10001843551

Asymptotic distribution theory for break point estimators in models estimated via 2SLS

Boldea, Otilia; Hall, Alastair R.; Han, Sanggohn - 2009

Persistent link: https://www.econbiz.de/10003935269

Nonnested testing in models estimated via generalized method of moments

Hall, Alastair R.; Pelletier, Denis - In: Econometric theory 27 (2011) 2, pp. 443-456

Persistent link: https://www.econbiz.de/10009310703

Approximate p-values of certain tests involving hypotheses about multiple breaks

Hall, Alastair R.; Sakkas, Nikolaos - In: Journal of econometric methods 2 (2013) 1, pp. 53-67

Persistent link: https://www.econbiz.de/10009784218

Asymptotic distribution theory for break point estimators in models estimated via 2SLS

Boldea, Otilia; Hall, Alastair R.; Han, Sanggohn - In: Econometric reviews 31 (2012) 1/3, pp. 1-33

Persistent link: https://www.econbiz.de/10009515976

Two further aspects of some new tests for structural stability

Sen, Amit; Hall, Alastair R. - In: Structural change and economic dynamics : SC+ED 10 (1999) 3/4, pp. 431-443

Persistent link: https://www.econbiz.de/10001645453

Structural stability testing in models estimated by generalized method of moments

Hall, Alastair R.; Sen, Amit - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 3, pp. 335-348

Persistent link: https://www.econbiz.de/10001410716

A data-driven nonparametric specification test for dynamic regression models

Guay, Alain; Guerre, Emmanuel - In: Econometric theory 22 (2006) 4, pp. 543-586

Persistent link: https://www.econbiz.de/10003351859

Adaptive rate-optimal detection of small autocorrelation coefficient

Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...

Persistent link: https://www.econbiz.de/10003850599

Robust adaptive rate-optimal testing for the white noise hypothesis

Guay, Alain; Guerre, Emmanuel; Lazarová, Stěpána - In: Journal of econometrics 176 (2013) 2, pp. 134-145

Persistent link: https://www.econbiz.de/10009786505