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Testing for granger causality...
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1
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Ghysels, Eric
;
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 633-654
Persistent link: https://www.econbiz.de/10012483174
Saved in:
2
Testing for Granger causality with mixed frequency data
Ghysels, Eric
;
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 207-230
Persistent link: https://www.econbiz.de/10011617146
Saved in:
3
A max-correlation white noise test for weakly dependent time series
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Econometric theory
36
(
2020
)
5
,
pp. 907-960
Persistent link: https://www.econbiz.de/10012307244
Saved in:
4
Testing the white noise hypothesis of stock returns
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Economic modelling
76
(
2019
),
pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
Saved in:
5
Consistent and non-degenerate model specification tests against smooth transition and neural network alternatives
Hill, Jonathan B.
- In:
Annales d'économie et de statistique
90
(
2008
),
pp. 145-179
Persistent link: https://www.econbiz.de/10003910527
Saved in:
6
On tail index estimation for dependent, heterogeneous data
Hill, Jonathan B.
- In:
Econometric theory
26
(
2010
)
5
,
pp. 1398-1436
Persistent link: https://www.econbiz.de/10008662664
Saved in:
7
Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money - income relationship
Hill, Jonathan B.
- In:
Journal of applied econometrics
22
(
2007
)
4
,
pp. 747-765
Persistent link: https://www.econbiz.de/10003550493
Saved in:
8
Tail and nontail memory with applications to extreme value and robust statistics
Hill, Jonathan B.
- In:
Econometric theory
27
(
2011
)
4
,
pp. 844-884
Persistent link: https://www.econbiz.de/10009311730
Saved in:
9
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
Saved in:
10
Consistent GMM residuals-based tests of functional form
Hill, Jonathan B.
- In:
Econometric reviews
32
(
2013
)
1/4
,
pp. 361-383
Persistent link: https://www.econbiz.de/10009717788
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