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Adaptive long memory testing under heteroskedasticity

Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778

Persistent link: https://www.econbiz.de/10011810197

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - 2020

Persistent link: https://www.econbiz.de/10012606901

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388

Persistent link: https://www.econbiz.de/10012483394

Semi-parametric single-index predictive regression models with cointegrated regressors

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015073842

Non-stationary parametric single-index predictive models : simulation and empirical studies

Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023

Persistent link: https://www.econbiz.de/10014313764

Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity

Harris, David - 2013

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a fixed lag q. These extensions involve a generalised...

Persistent link: https://www.econbiz.de/10013079429