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Limit theory for an explosive autoregressive process
Wang, XiaoHu; Yu, Jun - In: Economics letters 126 (2015), pp. 176-180
Persistent link: https://www.econbiz.de/10011377248
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Har testing for spurious regression in trend
Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics : open access journal 7 (2019) 4/50, pp. 1-28
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012160687
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Double asymptotics for explosive continuous time models
Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 193 (2016) 1, pp. 35-53
Persistent link: https://www.econbiz.de/10011704761
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HAR testing for spurious regression in trend
Phillips, Peter C. B.; Zhang, Yonghui; Wang, Xiaohu - 2018
Persistent link: https://www.econbiz.de/10011948826
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HAR Testing for Spurious Regression in Trend
Phillips, Peter C. B. - 2018
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012906697
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Zhang, Chen; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542217
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Bubble testing under polynomial trends
Wang, Xiaohu; Yu, Jun - In: The econometrics journal 26 (2023) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006