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Non-Gaussian log-periodogram regression

Velasco, Carlos - In: Econometric theory 16 (2000) 1, pp. 44-79

Persistent link: https://www.econbiz.de/10001568489

Whittle pseudo-maximum likelihood estimation for nonstationary time series

Velasco, Carlos; Robinson, Peter M. - 2000

Persistent link: https://www.econbiz.de/10001482791

Edgeworth expansions for spectral density estimates and studentized sample mean

Velasco, Carlos; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 497-539

Persistent link: https://www.econbiz.de/10001589011

Long memory in stock-market trading volume

Lobato, Ignacio N.; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 410-427

Persistent link: https://www.econbiz.de/10001521494

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Trend stationarity versus long-range dependence in time series analysis

Marmol, Francese; Velasco, Carlos - In: Journal of econometrics 108 (2002) 1, pp. 25-42

Persistent link: https://www.econbiz.de/10001656499

Consistent testing of cointegrating relationships

Mármol, Francesc; Velasco, Carlos - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 6, pp. 1809-1844

Persistent link: https://www.econbiz.de/10002435500

A simple test of normality for time series

Lobato, Ignacio N.; Velasco, Carlos - In: Econometric theory 20 (2004) 4, pp. 671-689

Persistent link: https://www.econbiz.de/10002163046

Distribution free goodness-of-fit tests for linear processes

Delgado, Miguel A. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002814664

Predictability Tests for the Expectations Hypothesis in the Presence of MA Disturbances

Moon, Seongman - 2011

This paper develops new inference methods for testing the expectations hypothesis in a general econometric framework. In particular, we consider nonparametric tests of the predictability of excess returns in the presence of MA disturbances. We discuss several alternatives of aggregation and...

Persistent link: https://www.econbiz.de/10013134230