Optimal Predictive Tests
From MaRDI portal
Publication:4434415
DOI10.1081/ETC-120025896zbMath1043.62013MaRDI QIDQ4434415
Publication date: 6 November 2003
Published in: Econometric Reviews (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62F10: Point estimation
65C20: Probabilistic models, generic numerical methods in probability and statistics
Related Items
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS, Structural change tests for simulated method of moments.
Cites Work
- Predictive tests for structural change with unknown breakpoint
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
- Convergence of stochastic processes