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Testing for structural change in the presence auf auxiliary models
Ghysels, Eric; Guay, Alain - In: Econometric theory 20 (2004) 6, pp. 1168-1202
Persistent link: https://www.econbiz.de/10002424914
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Structural change tests for simulated method of moments
Ghysels, Eric; Guay, Alain - In: Journal of econometrics 115 (2003) 1, pp. 91-123
Persistent link: https://www.econbiz.de/10001758137
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Predictive tests for structural change with unknown breakpoint
Ghysels, Eric; Guay, Alain; Hall, Alastair R. - 1995
Persistent link: https://www.econbiz.de/10001512516
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Predictive tests for structural change with unknown breakpoint
Ghysels, Eric - In: Journal of econometrics 82 (1998) 2, pp. 209-233
Persistent link: https://www.econbiz.de/10001234579
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Structural change tests for simulated method of moments
Ghysels, Eric; Guay, Alain - 1998
Persistent link: https://www.econbiz.de/10000995783
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Predictive Tests for Structural Change with Unknown Breakpoint.
Ghysels, E.; Guay, A.; Hall, A. - Département de Sciences Économiques, Université de … - 1995
Persistent link: https://www.econbiz.de/10005353487
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Predictive Tests for Structural Change with Unknown Breakpoint.
Ghysels, E.; Guay, A.; Hall, A. - Centre Interuniversitaire de Recherche en Économie … - 1995
Persistent link: https://www.econbiz.de/10005133100
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A data-driven nonparametric specification test for dynamic regression models
Guay, Alain; Guerre, Emmanuel - In: Econometric theory 22 (2006) 4, pp. 543-586
Persistent link: https://www.econbiz.de/10003351859
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Identification of technology shocks in structural VARs
Fève, Patrick (contributor); Guay, Alain (contributor) - 2006
Persistent link: https://www.econbiz.de/10003284518
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Adaptive rate-optimal detection of small autocorrelation coefficient
Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...
Persistent link: https://www.econbiz.de/10003850599