Tests for m-dependence based on sample splitting methods

DOI10.1016/J.JECONOM.2012.11.005MaRDI QIDQ528177zbMATH OpenOpenAlexFDO

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, http://www.sciencedirect.com/science/article/pii/S0304407612002679

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)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3108841 (Why is no real title available?)
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• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Bootstrap in moving average models
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Generalized spectral tests for the martingale difference hypothesis
• On a measure of lack of fit in time series models
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Sieve bootstrap for time series
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• The jackknife and the bootstrap for general stationary observations

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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