Tests for m-dependence based on sample splitting methods

DOI10.1016/J.JECONOM.2012.11.005zbMATH Open1443.62281OpenAlexW2152932695MaRDI QIDQ528177FDOQ528177

Authors: Seongman Moon, Carlos I. Hoyos Velasco 

Publication date: 12 May 2017

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

Full work available at URL: http://hdl.handle.net/10016/20093

Recommendations

• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Testing dependence among serially correlated multicategory variables
• Tests of Independence in Time Series
• Generalized Spectral Tests for Serial Dependence
• Generalized spectral tests for the martingale difference hypothesis

zbMATH Keywords

sample splittingexpectations hypothesis\(m\)-dependenceminimum/maximum/median methodpooled methodWald method

Mathematics Subject Classification ID

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

Cites Work

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Cited In (5)

• Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
• Nonparametric testing for long-horizon predictability with persistent covariates
• On the Simes test under dependence
• Portmanteau autocorrelation tests under \(q\)-dependence and heteroskedasticity
• On Samuel's \(p\)-value model and the Simes test under dependence

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