Testing the martingale difference hypothesis using integrated regression functions
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Publication:1010571
DOI10.1016/J.CSDA.2006.07.039zbMATH Open1157.62488OpenAlexW1976792908MaRDI QIDQ1010571FDOQ1010571
Authors: Carlos I. Hoyos Velasco, J. 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
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Cited In (16)
- A New Test of the Martingale Difference Hypothesis
- Fourier–type tests involving martingale difference processes
- Testing the Martingale Difference Hypothesis
- Estimation of time series models using residuals dependence measures
- Empirical likelihood based testing for regression
- Generalized spectral tests for the martingale difference hypothesis
- 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
- Semiparametric regression estimation for longitudinal data in models with martingale difference error's structure
- Weighted resampling of martingale difference arrays with applications
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- 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
- Data-driven smooth tests for the martingale difference hypothesis
- An updated review of goodness-of-fit tests for regression models
- A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
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