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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1 …
Persistent link: https://www.econbiz.de/10009579187
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...
Persistent link: https://www.econbiz.de/10009663846
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001701901
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A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei - 2014
Persistent link: https://www.econbiz.de/10010429183
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A convergent t-statistic in spurious regressions
Sun, Yixiao - 2003
Persistent link: https://www.econbiz.de/10001753294
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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation
Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainin - 2003
Persistent link: https://www.econbiz.de/10001741372
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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation
Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003
Persistent link: https://www.econbiz.de/10001753309
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A new asymptotic theory for vector autoregressive long-run variance estimation and autocorrelation robust testing
Sun, Yixiao; Kaplan, David M. - 2011
Persistent link: https://www.econbiz.de/10010205503
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross …
Persistent link: https://www.econbiz.de/10012243279