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Change-point detection in Phase I for autocorrelated Poisson profiles with random or unbalanced designs

He, Shuguang; Song, Lisha; Shang, Yanfen; Wang, Zhiqiong - In: International journal of production research 59 (2021) 14, pp. 4306-4323

Persistent link: https://www.econbiz.de/10012589292

Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity

Harris, David - 2013

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i …) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a … autocorrelation consistent (HAC)-type estimator. While we show this modified test is robust to unconditional heteroskedasticity, the …

Persistent link: https://www.econbiz.de/10013079429

Asymptotic F tests under possibly weak identification

Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin - In: Journal of econometrics 218 (2020) 1, pp. 140-177

Persistent link: https://www.econbiz.de/10012482936

Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels

Khalaf, Lynda; Saunders, Charles J. - In: Journal of econometrics 218 (2020) 2, pp. 419-434

Persistent link: https://www.econbiz.de/10012483164

Testing serial correlations in high-dimensional time series via extreme value theory

Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117

Persistent link: https://www.econbiz.de/10012439650

An automatic Portmanteau test for serial correlation

Escanciano, J. Carlos; Lobato, Ignacio N. - In: Journal of econometrics 151 (2009) 2, pp. 140-149

Persistent link: https://www.econbiz.de/10003877949

Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Drost, Feike C. (contributor); … - 2008 - Rev. version of CentER Discussion Paper 2007-23

Persistent link: https://www.econbiz.de/10003752414

Performance of autoregressive tree model in forecasting cancer patients

Kaur, Sukhpal; Rakshit, Madhuchanda - In: Strategic system assurance and business analytics, (pp. 187-200). 2020

Persistent link: https://www.econbiz.de/10012240951

Testing Tobler's law in spatial panels : a test for spatial dependence robust against common factors

Millo, Giovanni - 2010

In the spatial econometrics literature, spatial error dependence is characterized by spatial autoregressive processes, which relate every observation in the cross-section to any other with distance-decaying intensity: i.e., dependence obeys Tobler's First Law of Geography ('everything is related...

Persistent link: https://www.econbiz.de/10011575881

Is the capital market of Bangladesh efficient?

Rahman, Md. Habibour; Islam, Md. Ezazul; Hossain, Md. … - 2016

Persistent link: https://www.econbiz.de/10011576314