Testing the martingale difference hypothesis using integrated regression functions
From MaRDI portal
(Redirected from Publication:1010571)
Recommendations
- Testing the Martingale Difference Hypothesis
- scientific article; zbMATH DE number 2152216
- A New Test of the Martingale Difference Hypothesis
- Data-driven smooth tests for the martingale difference hypothesis
- A martingale-difference-divergence-based test for specification
- An out-of-sample, nonparametric test of the martingale difference hypothesis
- Testing the martingale difference hypothesis in high dimension
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Strong consistency of regression function estimator with martingale difference errors
- An extended martingale limit theorem with application to specification test for nonlinear co-integrating regression model
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 88834 (Why is no real title available?)
- scientific article; zbMATH DE number 774870 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A consistent test of functional form via nonparametric estimation techniques
- Asymptotic Theory of Integrated Conditional Moment Tests
- Bootstrap Approximations in Model Checks for Regression
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Comparing nonparametric versus parametric regression fits
- Consistent Estimation of Models Defined by Conditional Moment Restrictions
- Consistent Testing for Serial Correlation of Unknown Form
- Consistent bootstrap tests of parametric regression functions
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Consistent model specification tests for time series econometric models
- Data-driven rate-optimal specification testing in regression models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Model checks using residual marked empirical processes
- Model specification testing of time series regressions
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Spectral based testing of the martingale hypothesis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Testing for Differences Between Conditional Means in a Time Series Context
- Testing the Martingale Difference Hypothesis
- The Bierens test under data dependence
- The quantilogram: with an application to evaluating directional predictability
- Weak convergence of a self-consistent estimator of the survival function with doubly censored data
Cited in
(16)- Empirical likelihood based testing for regression
- Data-driven smooth tests for the martingale difference hypothesis
- Generalized spectral tests for the martingale difference hypothesis
- 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
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
- Testing the Martingale Difference Hypothesis
- Weighted resampling of martingale difference arrays with applications
- A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error's structure
- Estimating FARIMA models with uncorrelated but non-independent error terms
- A New Test of the Martingale Difference Hypothesis
- Fourier–type tests involving martingale difference processes
- Estimation of time series models using residuals dependence measures
- Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
This page was built for publication: Testing the martingale difference hypothesis using integrated regression functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1010571)
