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A convergent t-statistic in spurious regressions

Sun, Yixiao - 2003

Persistent link: https://www.econbiz.de/10001753294

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

Asymptotic F tests under possibly weak identi cation

Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin - University of California, San Diego / Department of … - 2019 - This version: March 9, 2019

Persistent link: https://www.econbiz.de/10011987354

Outer-product-of-gradients tests for spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 35-57

Persistent link: https://www.econbiz.de/10012108383

On size and power of heteroskedasticity and autocorrelation robust tests

Preinerstorfer, David; Pötscher, Benedikt M. - In: Econometric theory 32 (2016) 2, pp. 261-358

Persistent link: https://www.econbiz.de/10011578481

Partielle und simultane Prüfung auf Autokorrelation und Heteroskedastizität der Störvariablen im linearen Regressionsmodell

Bährens, Henning - 1992

Persistent link: https://www.econbiz.de/10013357762

Financial volatility forecasting with range-based autoregressive volatility model

Li, Hongquan; Hong, Yongmiao - In: Finance research letters 8 (2011) 2, pp. 69-76

Persistent link: https://www.econbiz.de/10009301308

Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity

Arvanitis, Stelios - 2018

A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent …. These effects are cancelled out in least squares regression theory and thereby the Cauchy limit theory of Phillips and …

Persistent link: https://www.econbiz.de/10012927802

Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542

Persistent link: https://www.econbiz.de/10011893733