Testing the martingale difference hypothesis using integrated regression functions

DOI10.1016/J.CSDA.2006.07.039zbMath1157.62488OpenAlexW1976792908MaRDI QIDQ1010571

Carlos Velasco, Juan Carlos Escanciano

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.039

zbMATH Keywords

empirical processesnonlinear time seriesexchange ratesmartingale difference hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

Semiparametric regression estimation for longitudinal data in models with martingale difference error's structure ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Empirical likelihood based testing for regression ⋮ Weighted resampling of martingale difference arrays with applications ⋮ Data-driven smooth tests for the martingale difference hypothesis ⋮ Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age? ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS ⋮ A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error's structure ⋮ Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk ⋮ Fourier–type tests involving martingale difference processes ⋮ Estimation of time series models using residuals dependence measures

Uses Software

• quantilogram

Cites Work

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