Moment condition tests for heavy tailed time series

DOI10.1016/J.JECONOM.2012.08.013zbMATH Open1443.62266OpenAlexW3122837894MaRDI QIDQ528143FDOQ528143

Authors: Jonathan B. Hill, Mike Aguilar 

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cdr.lib.unc.edu/downloads/mc87q1221

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zbMATH Keywords

heavy tailsrobust inferencetail trimmingmoment condition test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cited In (12)

• Bimodal \(t\)-ratios: the impact of thick tails on inference
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Robust estimation and inference for heavy tailed GARCH
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
• Robust score and portmanteau tests of volatility spillover
• New fat-tail normality test based on conditional second moments with applications to finance
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Testing for (in)finite moments
• On the measurement and treatment of extremes in time series
• Robustness of Bootstrap in Instrumental Variable Regression

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