Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
From MaRDI portal
Publication:5475053
DOI10.1111/j.1468-0262.2004.00542.xzbMath1141.62359OpenAlexW3122260616MaRDI QIDQ5475053
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://surface.syr.edu/cpr/123
Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Numerical methods for wavelets (65T60)
Related Items
On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method ⋮ Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ A robust test for serial correlation in panel data models ⋮ Testing for serial independence of panel errors ⋮ Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators ⋮ Errors-in-variables estimation with wavelets ⋮ De-noising option prices with the wavelet method ⋮ A modified residual-based test for serial correlation in linear panel data models ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes ⋮ Cross-correlating wavelet coefficients with applications to high-frequency financial time series ⋮ Multi-scale tests for serial correlation ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ Wavelet-based option pricing: an empirical study ⋮ Testing for serial correlation in three-dimensional panel data models ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Long-run wavelet-based correlation for financial time series ⋮ Central limit theorems for generalizedU-statistics with applications in nonparametric specification ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators