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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
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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
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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
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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
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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
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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
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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
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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/10010280754
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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
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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