Generalized spectral tests for the martingale difference hypothesis (Q278047): Difference between revisions

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-.1016/j.jeconom.2005.06.019
@@ Property / DOI: 10.1016/j.jeconom.2005.06.019 / rank @@
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@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID: 62G10 / rank @@
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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+6575847
@@ Property / zbMATH DE Number: 6575847 / rank @@
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@@ Property / zbMATH Keywords @@
+martingale difference hypothesis
@@ Property / zbMATH Keywords: martingale difference hypothesis / rank @@
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@@ Property / zbMATH Keywords @@
+Hilbert spaces
@@ Property / zbMATH Keywords: Hilbert spaces / rank @@
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@@ Property / zbMATH Keywords @@
+generalized spectral distribution
@@ Property / zbMATH Keywords: generalized spectral distribution / rank @@
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@@ Property / zbMATH Keywords @@
+characteristic function
@@ Property / zbMATH Keywords: characteristic function / rank @@
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+S\&P 500 stock index
@@ Property / zbMATH Keywords: S\&P 500 stock index / rank @@
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+exchange rates
@@ Property / zbMATH Keywords: exchange rates / rank @@
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+W1994321501
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@@ Property / cites work @@
+Consistent model specification tests
@@ Property / cites work: Consistent model specification tests / rank @@
+Normal rank
@@ Property / cites work @@
+Model specification testing of time series regressions
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+A Consistent Conditional Moment Test of Functional Form
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+Asymptotic Theory of Integrated Conditional Moment Tests
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+The Lindeberg-Levy Theorem for Martingales
@@ Property / cites work: The Lindeberg-Levy Theorem for Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
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+Linear processes in function spaces. Theory and applications
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+Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
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+The Bierens test under data dependence
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+Normal rank
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+Q4410074
@@ Property / cites work: Q4410074 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral tests of the martingale hypothesis under conditional heteroscedasticity
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+Testing the Martingale Difference Hypothesis
@@ Property / cites work: Testing the Martingale Difference Hypothesis / rank @@
+Normal rank
@@ Property / cites work @@
+A test for normality based on the empirical characteristic function
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+CONSISTENT MODEL SPECIFICATION TESTS
@@ Property / cites work: CONSISTENT MODEL SPECIFICATION TESTS / rank @@
+Normal rank
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
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+Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
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+Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
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+Asymptotic Properties of Non-Linear Least Squares Estimators
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+A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
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+Nonparametric model checks for time series
@@ Property / cites work: Nonparametric model checks for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
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+Bootstrap procedures under some non-i.i.d. models
@@ Property / cites work: Bootstrap procedures under some non-i.i.d. models / rank @@
+Normal rank
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+Bootstrap and wild bootstrap for high dimensional linear models
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+Asymptotic power properties of the Cramer-von Mises test under contiguous alternatives
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+Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
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+Q5533878
@@ Property / cites work: Q5533878 / rank @@
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+Q4839388
@@ Property / cites work: Q4839388 / rank @@
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+Synthesis of variance
@@ Property / cites work: Synthesis of variance / rank @@
+Normal rank
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+Q3395931
@@ Property / cites work: Q3395931 / rank @@
+Normal rank
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+CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS  PRESENT ONLY UNDER THE ALTERNATIVE
+Normal rank
@@ Property / cites work @@
+Nonparametric model checks for regression
@@ Property / cites work: Nonparametric model checks for regression / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap Approximations in Model Checks for Regression
+Normal rank
@@ Property / cites work @@
+Weak convergence and empirical processes. With applications to statistics
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@@ Property / cites work @@
+Consistent bootstrap tests of parametric regression functions
+Normal rank
@@ Property / cites work @@
+Jackknife, bootstrap and other resampling methods in regression analysis
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@@ Property / DOI @@
+.1016/J.JECONOM.2005.06.019
@@ Property / DOI: 10.1016/J.JECONOM.2005.06.019 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:278047