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On a New Correlation Coefficient, its Orthogonal Decomoposition, and Associated Tests of Independence

Bergsma, Wicher - 2006

A possible drawback of the ordinary correlation coefficient p for two real random variables X and Y is that zero … correlation does not imply independence. In this paper we introduce a new correlation coefficient p* which assumes values between …

Persistent link: https://www.econbiz.de/10014057932

Comparing distributions : the harmonic mass index

Hinloopen, Jeroen; Marrewijk, Charles van - 2005

The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is...

Persistent link: https://www.econbiz.de/10011348352

A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models

Korolev, Ivan - 2019

This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...

Persistent link: https://www.econbiz.de/10012862378

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10013183738

Testing Covariates in High Dimensional Regression

Lan, Wei - 2013

In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

Persistent link: https://www.econbiz.de/10013082410

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

Persistent link: https://www.econbiz.de/10012243279

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

instruments tends to zero and as the correlation between the disturbances of the structural and reduced-form equations tends to …

Persistent link: https://www.econbiz.de/10011411381

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322

Persistent link: https://www.econbiz.de/10011818361

Robust parametric tests of constant conditional correlation in a MGARCH model

Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576

Persistent link: https://www.econbiz.de/10012039397

A robust test for serial correlation in panel data models

Chen, Bin - In: Econometric reviews 41 (2022) 9, pp. 1095-1112

Persistent link: https://www.econbiz.de/10013364945