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Testing for first order serial correlation in temporally aggregated regression models
Pereira, Pedro L. Valls - 2015
This paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985)...
Persistent link: https://www.econbiz.de/10011933981
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Multivariate quantiles: geometric and measure-transportation-based contours
Hallin, Marc; Konen, Dimitri - 2023
Persistent link: https://www.econbiz.de/10014391450
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One-step R-estimation in linear models with stable errors
Hallin, Marc; Swan, Yvik; Verdebout, Thomas; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 195-204
Persistent link: https://www.econbiz.de/10009706209
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Quantile spectral analysis for locally stationary time series
Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014
Persistent link: https://www.econbiz.de/10010376928
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Quantile spectral analysis for locally stationary time series
Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014
Persistent link: https://www.econbiz.de/10010347305
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Elliptical multiple-output quantile regression and convex optimization
Hallin, Marc; Siman, Miroslav - 2015
Persistent link: https://www.econbiz.de/10011628546
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Multiple-output quantile regression
Hallin, Marc; Siman, Miroslav - 2016
Persistent link: https://www.econbiz.de/10011672676
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Parametrically and semiparametrically efficient detection of random regression coefficients
Fihri, Mohamed; Akharif, Abdelhadi; Mellouk, Amal; … - 2017
Persistent link: https://www.econbiz.de/10011673784
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Fully distribution-free center-outward rank tests for multiple-output regression and Manova
Hallin, Marc; Hlubinka, Daniel; Hudecová, Šárka - 2020
Persistent link: https://www.econbiz.de/10012317219
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Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
Fihri, Mohamed; Akharif, Abdelhadi; Mellouk, Amal; … - 2018
Persistent link: https://www.econbiz.de/10012064837