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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
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Adaptive consistent unit root tests based on autoregressive threshold model
Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - 2002
Persistent link: https://www.econbiz.de/10001720960
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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
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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
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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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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
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On the score function of the box-cox tranformation [transformation] for integrated time series
Guerre, Emmanuel - 1995
Persistent link: https://www.econbiz.de/10000908210
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Design adaptive pointwise nearest neighbor regression
Guerre, Emmanuel - 1997
Persistent link: https://www.econbiz.de/10000980272
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Optimal rate for nonparametric estimation in deterministic dynamical systems
Guerre, Emmanuel; Maes, J. - 1998
Persistent link: https://www.econbiz.de/10000984193
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The general asymptotic behavior of estimators of the box-cox model for integrated times series
Guerre, Emmanuel - 1995
Persistent link: https://www.econbiz.de/10000921097