Spectral tests of the martingale hypothesis under conditional heteroscedasticity
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Publication:1841190
DOI10.1016/S0304-4076(00)00027-0zbMath1075.62624MaRDI QIDQ1841190
Publication date: 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Conditional heteroscedasticityCramér von-Mises statisticMartingale differenceSample spectral distribution function
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)
Related Items (30)
Generalized spectral tests for the martingale difference hypothesis ⋮ TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ An automatic portmanteau test for serial correlation ⋮ White noise testing and model diagnostic checking for functional time series ⋮ A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence ⋮ A new generalized exponentially weighted moving average quantile model and its statistical inference ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ⋮ Robust inference on correlation under general heterogeneity ⋮ A Simple Test for White Noise in Functional Time Series ⋮ Robust adaptive rate-optimal testing for the white noise hypothesis ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Model checks for nonlinear cointegrating regression ⋮ Testing for parameter instability in predictive regression models ⋮ TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS ⋮ THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS ⋮ Weak convergence of non-stationary multivariate marked processes with applications to martingale testing ⋮ Constructing smooth tests without estimating the eigenpairs of the limiting process ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ Testing the Martingale Difference Hypothesis ⋮ A bootstrap-assisted spectral test of white noise under unknown dependence ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Testing the martingale difference hypothesis using integrated regression functions ⋮ Testing discrete-valued time series for whiteness ⋮ Testing the martingale restriction for option implied densities ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Fourier–type tests involving martingale difference processes ⋮ The generalised autocovariance function
Cites Work
- Goodness of fit tests for spectral distributions
- Stationarity of GARCH processes and of some nonnegative time series
- Spectral based testing of the martingale hypothesis
- Time series: theory and methods.
- On the relation between GARCH and stable processes
- ADEQUACY OF ASYMPTOTIC THEORY FOR GOODNESS-OF-FIT CRITERIA FOR SPECTRAL DISTRIBUTIONS
- On Limit Theorems for Quadratic Functions of Discrete Time Series
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