Generalized spectral tests for the martingale difference hypothesis
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Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 1944026 (Why is no real title available?)
- scientific article; zbMATH DE number 774870 (Why is no real title available?)
- scientific article; zbMATH DE number 3245885 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Consistent Conditional Moment Test of Functional Form
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
- A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
- A test for normality based on the empirical characteristic function
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotic Theory of Integrated Conditional Moment Tests
- Asymptotic power properties of the Cramer-von Mises test under contiguous alternatives
- Bootstrap Approximations in Model Checks for Regression
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Consistent bootstrap tests of parametric regression functions
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Consistent model specification tests
- Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Jackknife, bootstrap and other resampling methods in regression analysis
- Linear processes in function spaces. Theory and applications
- Model specification testing of time series regressions
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Synthesis of variance
- Testing the Martingale Difference Hypothesis
- The Bierens test under data dependence
- The Lindeberg-Levy Theorem for Martingales
- Weak convergence and empirical processes. With applications to statistics
Cited in
(47)- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Reduced-Rank Envelope Vector Autoregressive Model
- Model checks for nonlinear cointegrating regression
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Joint and marginal specification tests for conditional mean and variance models
- Generalized ARMA models with martingale difference errors
- Specification tests of parametric dynamic conditional quantiles
- Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
- A monte carlo analysis of two spectral tests of the martingale hypothesis
- A Gaussian process approach to model checks
- Data-driven smooth tests for the martingale difference hypothesis
- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- An updated review of goodness-of-fit tests for regression models
- Testing the martingale difference hypothesis in high dimension
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Testing for Granger-causality in quantiles
- Adaptive market hypothesis and evolving predictability of bitcoin
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
- White noise testing and model diagnostic checking for functional time series
- Testing the Martingale Difference Hypothesis
- On the lack of power of omnibus specification tests
- A nonparametric distribution-free test for serial independence of errors
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Spectral based testing of the martingale hypothesis
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Market efficiency of the post communist East European stock markets
- A generalized moving average convergence/divergence for testing semi-strong market efficiency
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- Statistical dependence: beyond Pearson's \(\rho\)
- A model specification test for GARCH(1,1) processes
- A New Test of the Martingale Difference Hypothesis
- Fourier–type tests involving martingale difference processes
- Estimation of time series models using residuals dependence measures
- A bootstrap-assisted spectral test of white noise under unknown dependence
- Small sample properties of alternative tests for martingale difference hypothesis
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Tests for \(m\)-dependence based on sample splitting methods
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- Testing the martingale difference hypothesis using integrated regression functions
- A martingale-difference-divergence-based test for specification
- SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
- A bootstrapped spectral test for adequacy in weak ARMA models
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
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