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Adaptive long memory testing under heteroskedasticity

Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778

Persistent link: https://www.econbiz.de/10011810197

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

Andrews, Donald W. K. - 2000

This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the...

Persistent link: https://www.econbiz.de/10014164278

Size Distortions of the Wild Bootstrapped HCCME-Based LM Test for Serial Correlation in the Presence of Asymmetric Conditional Heteroskedasticity

Grobys, Klaus - 2015

This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped counterparts in the presence of asymmetric conditional heteroskedasticity. Thereby, asymmetric effects are allowed to enter the residual process of the dynamic regression model in...

Persistent link: https://www.econbiz.de/10013029965

Diagnostic tests based on quantile residuals for nonlinear time series models

Kalliovirta, Leena - 2009

Persistent link: https://www.econbiz.de/10003885269

On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study

Chen, Yi-ting (contributor) - In: Economics bulletin : EB (2002)

Persistent link: https://www.econbiz.de/10001740184

A goodness-of-fit test for a class of autoregressive conditional duration models

Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141

Persistent link: https://www.econbiz.de/10011591144

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …

Persistent link: https://www.econbiz.de/10011862130

Testing for a shift in trend at an unknown date : a fixed-B analysis of heteroskedasticity autocorrelation robust OLS-based tests

Sayginsoy, Özgen; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 992-1025

Persistent link: https://www.econbiz.de/10009379760

Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1368

Persistent link: https://www.econbiz.de/10009489710

A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator

Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009722516