Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms
Year of publication: |
2008-11
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Authors: | Dufour, Jean-Marie ; Taamouti, Abderrahim |
Institutions: | Departamento de Economía, Universidad Carlos III de Madrid |
Subject: | Sign test | Point-optimal test | Nonlinear model | Heteroskedasticity | Exact inference | Distribution-free | Power envelope | Split-sample | Adaptive method | Projection |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation |
Source: |
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Identification, Weak Instruments and Statistical Inference in Econometrics
Dufour, Jean-Marie, (2003)
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie, (2003)
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie, (2003)
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie, (2008)
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Short and long run causality measures: theory and inference
Dufour, Jean-Marie, (2008)
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Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
Dufour, Jean-Marie, (2009)
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