Similar Search Results

Testing for autocorrelation with missing observations

Savin, N. E.; White, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 46 (1978) 1, pp. 59-67

Persistent link: https://www.econbiz.de/10002731889

Testing the Semiparametric Box-Cox Model with the Bootstrap

Savin, N. Eugene; Wurtz, Allan - 2002

This paper considers tests of the transformation parameter of the Box-Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange Multiplier (LM) tests when the null hypothesis is...

Persistent link: https://www.econbiz.de/10014111023

Testing the CAPM revisited

Ray, Surajit; Savin, N. Eugene; Tiwari, Ashish - In: Journal of empirical finance 16 (2009) 5, pp. 721-733

Persistent link: https://www.econbiz.de/10003900383

Modeling the cross section of stock returns : a model pooling approach

O'Doherty, Michael; Savin, N. Eugene; Tiwari, Ashish - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1331-1360

Persistent link: https://www.econbiz.de/10009728905

Testing for serial correlation : generalized Andrews-Ploberger tests

Nankervis, John C.; Savin, N. Eugene - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 246-255

Persistent link: https://www.econbiz.de/10008736225

Friedman-Meiselman revisited: a study in autocorrelation

Savin, N. E. - 1975

Persistent link: https://www.econbiz.de/10003529780

Conflict among testing procedures in a linear regressionmodel witth autoregressive disturbances

Savin, N. E. - 1975

Persistent link: https://www.econbiz.de/10003529789

The performance of heteroskedasticity and autocorrelation robust tests : a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model

Ray, Surajit; Savin, N. Eugene - In: Journal of applied econometrics 23 (2008) 1, pp. 91-109

Persistent link: https://www.econbiz.de/10003682851

Bootstrapping the Box-Pierce Q test : a robust test of uncorrelatedness

Horowitz, Joel; Lobato, Ignacio N.; Nankervis, John C.; … - In: Journal of econometrics 133 (2006) 2, pp. 841-862

Persistent link: https://www.econbiz.de/10003359657

Testing the semiparametric Box-Cox model with the bootstrap

Savin, N. Eugene; Würtz, Allan H. - In: Identification and inference for econometric models : …, (pp. 332-354). 2005

Persistent link: https://www.econbiz.de/10003352571

A service of the

zbw