Narrow search
Showing 1 - 10 of 1,947
Cover Image
Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://www.econbiz.de/10013347728
Cover Image
Uniform nonparametric series inference for dependent data with an application to the search and matching model
Li, Jia; Liao, Zhipeng - 2018
size. The strong approximation is first proved for heterogeneous martingale difference arrays and then extended to general … mixingales via martingale approximation, readily accommodating a majority of applications in applied econometrics. We use these …–Pissarides search and matching model for equilibrium unemployment, and shed new light on the unemployment volatility puzzle from an …
Persistent link: https://www.econbiz.de/10012117544
Cover Image
Mean Ratio Statistic for measuring predictability
Linton, Oliver; Smetanina, Katja - 2015
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...
Persistent link: https://www.econbiz.de/10010481079
Cover Image
Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
Cover Image
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10011818366
Cover Image
A martingale-difference-divergence-based test for specification
Su, Liangjun; Zheng, Xin - In: Economics letters 156 (2017), pp. 162-167
Persistent link: https://www.econbiz.de/10011822395
Cover Image
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Cover Image
Specification tests for the distribution of errors in nonoarametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2008
Persistent link: https://www.econbiz.de/10003871481
Cover Image
Testing a linear dynamic panel data model against nonlinear alternatives
Lee, Yoon-jin - In: Journal of econometrics 178 (2014) 1, pp. 146-166
Persistent link: https://www.econbiz.de/10010255452
Cover Image
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a …
Persistent link: https://www.econbiz.de/10012305035