Tests for serial correlation of unknown form in dynamic least squares regression with wavelets

DOI10.1016/j.econlet.2017.03.021zbMath1400.62190OpenAlexW2598956570MaRDI QIDQ1673452

Meiyu Li, Ramazan Gençay

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.03.021

zbMATH Keywords

serial correlationconditional heteroscedasticitydynamic least squares regressionmaximum overlap discrete wavelet transformation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Model-free tests for series correlation in multivariate linear regression

Uses Software

• wmtsa

Cites Work

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• Power Transformations to Induce Normality and their Applications
• Introduction to the Mathematical and Satistical Foundations of Econometrics
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS

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