Search Results - subject:"adaptive rate-optimality"

Adaptive rate-optimal detection of small autocorrelation coefficient

Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009

coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality …

Persistent link: https://www.econbiz.de/10010280754

Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients

Guay, Alain; Guerre, Emmanuel; Lazarova, Stepana - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality …

Persistent link: https://www.econbiz.de/10008528564

Robust adaptive rate-optimal testing for the white noise hypothesis

Guay, Alain; Guerre, Emmanuel; Lazarová, Štěpána - In: Journal of Econometrics 176 (2013) 2, pp. 134-145

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007)...

Persistent link: https://www.econbiz.de/10011052265

Adaptive Rate-optimal Detection of Small Autocorrelation Coefficients

Guay, Alain; Guerre, Emmanuel; Lazarová, Štěpána - School of Economics and Finance, Queen Mary - 2009

coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality …

Persistent link: https://www.econbiz.de/10004979097