A nonparametric approach to test for predictability
From MaRDI portal
Publication:1672705
DOI10.1016/j.econlet.2016.09.006zbMath1400.62334MaRDI QIDQ1672705
Zhiyuan Pan, Yudong Wang, Chongfeng Wu
Publication date: 11 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2016.09.006
62P20: Applications of statistics to economics
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Cites Work
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Automatic Lag Selection in Covariance Matrix Estimation
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods