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A consistent nonparametric test for nonlinear causality : specification in time series regression
Nishiyama, Yoshihiko; Hitomi, Kohtaro; Kawasaki, Yoshinori - In: Journal of econometrics 165 (2011) 1, pp. 112-127
Persistent link: https://www.econbiz.de/10009374481
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Volatility forecast of stock indices by model averaging using high-frequency data
Wang, Chengyang; Nishiyama, Yoshihiko - In: International review of economics & finance : IREF 40 (2015), pp. 324-337
Persistent link: https://www.econbiz.de/10011573818
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A sequential test for a unit root in monitoring a p-th order autoregressive process
Hitomi, Kohtaro; Nagai, Keiji; Nishiyama, Yoshihiko; … - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 115-153). 2023
Persistent link: https://www.econbiz.de/10014313472
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Unit root tests considering initial values and a concise method for computing powers
Hitomi, Kohtaro; Jin, Jianwei; Nagai, Keiji; Nishiyama, … - 2022
Persistent link: https://www.econbiz.de/10014284744