Narrow search
Showing 51 - 60 of 22,498
Cover Image
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a …
Persistent link: https://www.econbiz.de/10012305035
Cover Image
Weak form efficiency and martingale difference sequence tests of six African stock market indexes
Setlhare, Lexi L.; Kouassi, Eugène - In: The empirical economics letters : a monthly … 15 (2016) 1, pp. 37-44
Persistent link: https://www.econbiz.de/10011579682
Cover Image
Testing the martingale hypothesis for gross returns
Linton, Oliver; Smetanina, Ekaterina - In: Journal of empirical finance 38 (2016), pp. 664-689
Persistent link: https://www.econbiz.de/10011663757
Cover Image
Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
Cover Image
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Cover Image
Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Cover Image
Testing martingale hypothesis using variance ratio tests : evidence from high-frequency data of NCDEX soya bean futures
Mishra, Sibanjan - In: Global business review 20 (2019) 6, pp. 1407-1422
Persistent link: https://www.econbiz.de/10012137802
Cover Image
Uniform nonparametric series inference for dependent data with an application to the search and matching model
Li, Jia; Liao, Zhipeng - 2018
size. The strong approximation is first proved for heterogeneous martingale difference arrays and then extended to general … mixingales via martingale approximation, readily accommodating a majority of applications in applied econometrics. We use these …
Persistent link: https://www.econbiz.de/10012117544
Cover Image
Fourier-type tests involving martingale difference processes
Hlávka, Zdeněk; Hušková, Marie; Kirch, Claudia; … - In: Econometric reviews 36 (2017) 4, pp. 469-492
Persistent link: https://www.econbiz.de/10011795250
Cover Image
Efficient two-step generalized empirical likelihood estimation and tests with martingale differences
Jin, Fei; Lee, Lung-fei - In: Econometric theory 37 (2021) 3, pp. 573-612
Persistent link: https://www.econbiz.de/10012593449