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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

Adaptive consistent unit-root test based on autoregressive threshold model

Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - In: Journal of econometrics 142 (2008) 1, pp. 94-133

Persistent link: https://www.econbiz.de/10003608129

Adaptive consistent unit root tests based on autoregressive threshold model

Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - 2002

Persistent link: https://www.econbiz.de/10001720960

Processus à mémoire longue et théorème non central limite : une introduction

Guerre, Emmanuel - In: Publications de l'Institut de Statistique de … 36 (1991) 1, pp. 71-91

Persistent link: https://www.econbiz.de/10001141265

Optimal predictive tests

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

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

Identification of structural Vector Autoregressions through higher unconditional moments

Guay, Alain - In: Journal of econometrics 225 (2021) 1, pp. 27-46

Persistent link: https://www.econbiz.de/10013279004

Nonparametric identification of risk aversion in first-price auctions under exclusion restrictions

Guerre, Emmanuel; Perrigne, Isabelle; Vuong, Quang H. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 4, pp. 1193-1227

Persistent link: https://www.econbiz.de/10003881925

Semiparametric estimation of first-price auctions with risk-averse bidders

Campo, Sandra; Guerre, Emmanuel; Perrigne, Isabelle; … - In: The review of economic studies 78 (2011) 1, pp. 112-147

Persistent link: https://www.econbiz.de/10009162062

Design-adaptive pointwise nonparametric regression estimation for recurrent Markov time series

Guerre, Emmanuel - 2004

Persistent link: https://www.econbiz.de/10002554161

The limit distribution of level crossings of a random walk, and a simple unit root test

Burridge, Peter - In: Econometric theory 12 (1996) 4, pp. 705-723

Persistent link: https://www.econbiz.de/10001210203

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