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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/10010280754
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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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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
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Adaptive consistent unit-root test based on autoregressive threshold model
Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - In: Journal of econometrics 142 (2008) 1, pp. 94-133
Persistent link: https://www.econbiz.de/10003608129
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Robust adaptive rate-optimal testing for the white noise hypothesis
Guay, Alain; Guerre, Emmanuel; Lazarová, Stěpána - In: Journal of econometrics 176 (2013) 2, pp. 134-145
Persistent link: https://www.econbiz.de/10009786505
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Adaptive consistent unit root tests based on autoregressive threshold model
Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - 2002
Persistent link: https://www.econbiz.de/10001720960
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Adaptive consistent unit-root tests based on autoregressive threshold model
Bec, Frederique; Guay, Alain; Guerre, Emmanuel - In: Journal of Econometrics 142 (2008) 1, pp. 94-133
Persistent link: https://www.econbiz.de/10005239003
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Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - Centre de Recherche en Économie et Statistique … - 2002
Persistent link: https://www.econbiz.de/10005350634
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Adaptive consistent unit-root tests based on autoregressive threshold model
Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - In: Journal of econometrics 142 (2008) 1, pp. 94-133
Persistent link: https://www.econbiz.de/10007894517
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Robust adaptive rate-optimal testing for the white noise hypothesis
Guay, Alain; Guerre, Emmanuel; Lazarová, Štěpána - In: Journal of econometrics 176 (2013) 2, pp. 134-145
Persistent link: https://www.econbiz.de/10010152651