Tests for \(m\)-dependence based on sample splitting methods

DOI10.1016/j.jeconom.2012.11.005zbMath1443.62281OpenAlexW2152932695MaRDI QIDQ528177

Seongman Moon, Carlos Velasco

Publication date: 12 May 2017

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

Full work available at URL: http://hdl.handle.net/10016/20093

zbMATH Keywords

sample splittingexpectations hypothesis\(m\)-dependenceminimum/maximum/median methodpooled methodWald method

Mathematics Subject Classification ID

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

Related Items (3)

Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m ⋮ PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY ⋮ Nonparametric testing for long-horizon predictability with persistent covariates

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