Similar Search Results - EconBiz

Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

Monitoring multistage processes with autocorrelated observations

Kim, Jinho; Jeong, Myong K.; Elsayed, Elsayed A. - In: International journal of production research 55 (2017) 7/8, pp. 2385-2396

Persistent link: https://www.econbiz.de/10011648619

Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability

Dufour, Jean-Marie - 2014

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to...

Persistent link: https://www.econbiz.de/10013061708

Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

Deng, Ai - In: Economics letters 107 (2010) 1, pp. 22-25

Persistent link: https://www.econbiz.de/10003970817

Generalized moment tests for autoregressive conditional duration models

Chen, Yi-ting; Hsieh, Chih-sheng - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 345-391

Persistent link: https://www.econbiz.de/10003997409

A robust test for weak instruments

Olea, José Luis Montiel; Pflueger, Carolin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 358-369

Persistent link: https://www.econbiz.de/10009785968

Maximum entropy test for autoregressive models

Lee, Sangyeol; Park, Siyun - In: Uncertainty analysis in econometrics with applications …, (pp. 119-128). 2013

Persistent link: https://www.econbiz.de/10009711159

Testing for serial correlation : generalized Andrews-Ploberger tests

Nankervis, John C.; Savin, N. Eugene - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 246-255

Persistent link: https://www.econbiz.de/10008736225

On the least squares estimation of multiple-regime threshold autoregressive models

Li, Dong - In: Journal of econometrics 167 (2012) 1, pp. 240-253

Persistent link: https://www.econbiz.de/10009551421

Heteroscedasticity and autocorrelation robust F and t tests in stata

Ye, Xiaoqing; Sun, Yixiao - 2018

Persistent link: https://www.econbiz.de/10011914436

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