Testing the martingale difference hypothesis using integrated regression functions
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Publication:1010571
DOI10.1016/j.csda.2006.07.039zbMath1157.62488MaRDI 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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
65C05: Monte Carlo methods
62M07: Non-Markovian processes: hypothesis testing
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Uses Software
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