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Simple procedures for testing autoregressive versus moving average errors in regression models
McKenzie, Colin; McAleer, Michael; Gill, Len - 1990 - Rev
Persistent link: https://www.econbiz.de/10000799442
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Simple procedures for testing autoregressive versus moving average errors in regression models
MacKenzie, Colin R.; McAleer, Michael; Gill, Len - 1990
Persistent link: https://www.econbiz.de/10000129167
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A unified approach to testing for stationarity and unit roots
Harvey, Andrew C. - In: Identification and inference for econometric models : …, (pp. 403-425). 2005
Persistent link: https://www.econbiz.de/10003352588
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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Test for randomness of the technology parameter in a stochastic frontier regression model
Ramanathan, T. V.; Ghadge, Chanchala - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 319-331
Persistent link: https://www.econbiz.de/10008649265
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A parametric approach o stochastic dominance : the lognormal case
Kroll, Yoram; Levy, Haim - In: Management science : journal of the Institute for … 32 (1986) 3, pp. 283-288
Persistent link: https://www.econbiz.de/10003609706
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A test for strict stationarity
Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013
Persistent link: https://www.econbiz.de/10009711170
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Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes
Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, … - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 181-193
Persistent link: https://www.econbiz.de/10010340239
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A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - 2016
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011556246
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A bootstrap test for jumps in financial economics
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78
Persistent link: https://www.econbiz.de/10010504752