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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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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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The limit distribution of level crossings of a random walk, and a simple unit root test
Burridge, Peter; Guerre, Emmanuel - 1995
Persistent link: https://www.econbiz.de/10000912860
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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
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Geometric versus arithmetic random walk : the case of trended variables
Guerre, Emmanuel; Jouneau, Frédéric - 1995
Persistent link: https://www.econbiz.de/10000924123
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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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The limit distribution of level crossings of a random walk, and a simple unit root test
Burridge, Peter; Guerre, Emmanuel - 1995 - Rev
Persistent link: https://www.econbiz.de/10000931591
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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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A generalization of the Burridge-Guerre nonparametric root test
García, Ana; Sansó, Andreu - In: Econometric theory 22 (2006) 4, pp. 756-761
Persistent link: https://www.econbiz.de/10003351884
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Multivariate local polynomial estimators : uniform boundary properties and asymptotic linear representation
Fan, Yanqin; Guerre, Emmanuel - In: Essays in honor of Aman Ullah, (pp. 489-537). 2016
Persistent link: https://www.econbiz.de/10011530319