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A robust bootstrap test under heteroskedasticity

Lamarche, Jean-François - In: Economics letters 79 (2003) 3, pp. 353-359

Persistent link: https://www.econbiz.de/10001755285

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

Identification of technology shocks in structural VARs

Fève, Patrick (contributor); Guay, Alain (contributor) - 2006

Persistent link: https://www.econbiz.de/10003284518

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...