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81
A conformity test for cointegration
Dhrymes, Phoebus J.
-
1995
Persistent link: https://www.econbiz.de/10000937566
Saved in:
82
A conformity test for cointegration
Dhrymes, Phoebus J.
-
1996
-
[Rev.]
Persistent link: https://www.econbiz.de/10000937846
Saved in:
83
ARCH models
Bollerslev, Tim
;
Engle, Robert F.
;
Nelson, Daniel B.
-
1993
Persistent link: https://www.econbiz.de/10000899195
Saved in:
84
On typical characteristics of economic time series and the relative qualities of five autocorrelation tests
Dubbelman, C.
;
Abrahamse, A. P. J.
;
Louter, A. S.
-
1976
Persistent link: https://www.econbiz.de/10001566137
Saved in:
85
Rissanen's theorem and econometric time series
Ploberger, Werner
;
Phillips, Peter C. B.
- In:
Simplicity, inference and modeling : keeping it …
,
(pp. 165-180)
.
2001
Persistent link: https://www.econbiz.de/10001651909
Saved in:
86
Asymptotic filtering theory for univariate ARCH models
Nelson, Daniel B.
;
Foster, Dean P.
-
1992
Persistent link: https://www.econbiz.de/10000849715
Saved in:
87
Hyper-consistent estimation of a unit root in time series regression
Phillips, Peter C. B.
-
1992
Persistent link: https://www.econbiz.de/10000852458
Saved in:
88
The limit distribution of level crossings of a random walk, and a simple unit root test
Burridge, Peter
;
Guerre, Emmanuel
-
1995
Persistent link: https://www.econbiz.de/10000912860
Saved in:
89
Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Nolte, Ingmar
-
2011
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...
Persistent link: https://www.econbiz.de/10013134748
Saved in:
90
Simultaneous Testing of the Mean and Variance Structures in Nonlinear Time Series Models
Gao, Jiti
-
2010
This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness-of-fit between the parametric estimates and...
Persistent link: https://www.econbiz.de/10013135173
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