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A multivariate linear rank test of independence based on a multiparametric copula with cubic sections
Mangold, Benedikt - 2015
This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...
Persistent link: https://www.econbiz.de/10011333620
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A nonlinear IV likelihood-based rank test for multivariate time series and long panels
Miller, J. Isaac - In: Journal of time series econometrics 2 (2010) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009623321
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Testing for the cointegration rank when some cointegrating directions are changing
Andrade, Philippe; Bruneau, Catherine; Grégoir, Stéphane - In: Journal of econometrics 124 (2005) 2, pp. 269-310
Persistent link: https://www.econbiz.de/10002515549
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Center-outward sign- and rank-based quadrant, spearman, and Kendall tests for multivariate independence
Hallin, Marc; Shi, Hongjian; Drton, Mathias; Han, Fang - 2021
Persistent link: https://www.econbiz.de/10012694896
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On the finite-sample performance of measure transportation-based multivariate rank tests
Hallin, Marc; Mordant, Gilles - 2021
Persistent link: https://www.econbiz.de/10012698528
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Influence of the American financial market on other markets during the subprime crisis
Płuciennik, Piotr - In: Folia oeconomica Stetinensia : FOS 12 (2012) 2, pp. 19-30
Persistent link: https://www.econbiz.de/10010241690
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Factor-based forecasting in the presence of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 309-338
Persistent link: https://www.econbiz.de/10010384286
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Nowcasting real GDP for Saudi Arabia
Alkhareif, Ryadh M.; Barnett, William A. - In: Open economies review 33 (2022) 2, pp. 333-345
Persistent link: https://www.econbiz.de/10013273192
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Nowcasting real GDP for Saudi Arabia
Alkhareif, Ryadh; Barnett, William A. - 2020
Persistent link: https://www.econbiz.de/10012425289
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Modeling and forecasting the co-movement of international yield curve drivers
Sprincenatu, Maria - 2019
Persistent link: https://www.econbiz.de/10012172917