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PORTMANTEAU AUTOCORRELATION TESTS UNDER Q-DEPENDENCE AND HETEROSKEDASTICITY

Harris, David; Kew, Hsein - In: Journal of Time Series Analysis 35 (2014) 3, pp. 203-217

type="main" xml:id="jtsa12059-abs-0001" <title type="main">Abstract</title>We propose extensions of the Box–Pierce ([Box GE, 1970]) portmanteau autocorrelation test to allow for two generalizations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only...

Persistent link: https://www.econbiz.de/10011153158

THRESHOLD EFFECTS IN NONLINEAR MODELS WITH AN APPLICATION TO THE SOCIAL CAPITAL‐RETIREMENT‐HEALTH RELATIONSHIP

Gannon, Brenda; Harris, David; Harris, Mark - In: Health Economics 23 (2014) 9, pp. 1072-1083

Persistent link: https://www.econbiz.de/10011085198

Econometric modelling with time series : specification, estimation and testing

Martin, Vance; Hurn, Stan; Harris, David - 2012

Persistent link: https://www.econbiz.de/10009635252

Addressing stewardship misconceptions in passive investments : can indexes enable scale engagement? : commentary

Harris, David; Staal, Arne - In: The journal of impact and ESG investing 2 (2022) 4, pp. 52-56

Persistent link: https://www.econbiz.de/10014232979

How to succeed in your social science degree

Arksey, Hilary; Harris, David - 2007

Persistent link: https://www.econbiz.de/10004878940

Does the option market produce superior forecasts of noise‐corrected volatility measures?

M. Martin, Gael; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10008847147

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