Moment condition tests for heavy tailed time series

DOI10.1016/j.jeconom.2012.08.013zbMath1443.62266OpenAlexW3122837894MaRDI QIDQ528143

Mike Aguilar, Jonathan B. Hill

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cdr.lib.unc.edu/downloads/mc87q1221

zbMATH Keywords

heavy tailsrobust inferencetail trimmingmoment condition test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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