Testing for the martingale difference hypothesis in multivariate time series models
Year of publication: |
2022
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Authors: | Wang, Guochang ; Zhu, Ke ; Shao, Xiaofeng |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 3, p. 980-994
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Subject: | Martingale difference divergence matrix | Martingale difference hypothesis | Multivariate time series models | Specification test | Wild bootstrap | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Statistischer Test | Statistical test |
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