Generalized spectral tests for the martingale difference hypothesis (Q278047)

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English	Generalized spectral tests for the martingale difference hypothesis	scientific article

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Generalized spectral tests for the martingale difference hypothesis (English)

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author

Juan Carlos Escanciano

Journal of Econometrics

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publication date

2 May 2016

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full work available at URL

http://hdl.handle.net/10016/4360

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zbMATH Keywords

martingale difference hypothesis

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Hilbert spaces

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generalized spectral distribution

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characteristic function

S\&P 500 stock index

exchange rates

MaRDI publication profile

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cites work

Consistent model specification tests

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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

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Q5560061

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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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Q4410074

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Spectral tests of the martingale hypothesis under conditional heteroscedasticity

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Testing the Martingale Difference Hypothesis

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A test for normality based on the empirical characteristic function

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CONSISTENT MODEL SPECIFICATION TESTS

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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

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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

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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

Synthesis of variance

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Q3395931

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CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE

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Nonparametric model checks for regression

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Bootstrap Approximations in Model Checks for Regression

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Weak convergence and empirical processes. With applications to statistics

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Consistent bootstrap tests of parametric regression functions

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Jackknife, bootstrap and other resampling methods in regression analysis

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Identifiers

zbMATH Open document ID

1418.62320

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DOI

10.1016/j.jeconom.2005.06.019

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Mathematics Subject Classification ID

Sitelinks

Mathematics(1 entry)

mardi Publication:278047