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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 91 (1999) 2, pp. 373-401

Persistent link: https://www.econbiz.de/10001382096

Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates

Patton, Andrew J.; Chen, Xiaohong; Fan, Yanqin - 2004

Persistent link: https://www.econbiz.de/10002034254

Unit root tests with wavelets

Fan, Yanqin; Gençay, Ramazan - In: Econometric theory 26 (2010) 5, pp. 1305-1331

Persistent link: https://www.econbiz.de/10008662670

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154

Persistent link: https://www.econbiz.de/10003376080

Estimation of copula-based semiparametric time series models

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335

Persistent link: https://www.econbiz.de/10003277967

Multivariate local polynomial estimators : uniform boundary properties and asymptotic linear representation

Fan, Yanqin; Guerre, Emmanuel - In: Essays in honor of Aman Ullah, (pp. 489-537). 2016

Persistent link: https://www.econbiz.de/10011530319

Unit Root Tests with Wavelets

Gençay, Ramazan - 2011

This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...

Persistent link: https://www.econbiz.de/10012757043

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014471479

Consistent model specification tests for time series econometric models

Li, Qi - In: Journal of econometrics 92 (1999) 1, pp. 101-147

Persistent link: https://www.econbiz.de/10001400093

A consistent test for conditional heteroskedasticity in time-series regression models

Hsiao, Cheng; Li, Qi - In: Econometric theory 17 (2001) 1, pp. 188-221

Persistent link: https://www.econbiz.de/10001556097