Fourier–type tests involving martingale difference processes
From MaRDI portal
Publication:5864443
DOI10.1080/07474938.2014.977074OpenAlexW2087676115MaRDI QIDQ5864443
Claudia Kirch, Zdeněk Hlávka, Marie Hušková, Simos G. Meintanis
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2014.977074
Related Items
Fourier methods for analyzing piecewise constant volatilities, Tests for heteroskedasticity in transformation models, Change Point Detection with Multivariate Observations Based on Characteristic Functions, Testing the adequacy of semiparametric transformation models, Change-point methods for multivariate time-series: paired vectorial observations, Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models, Specification testing in nonparametric AR‐ARCH models, Testing for serial independence in vector autoregressive models, A novel change-point approach for the detection of gas emission sources using remotely contained concentration data, Specification tests in semiparametric transformation models --- a multiplier bootstrap approach
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Consistent model specification tests
- The effect of long-range dependence on change-point estimators
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Generalized spectral tests for the martingale difference hypothesis
- Characteristic function-based hypothesis tests under weak dependence
- Cramér-von Mises and characteristic function tests for the two and \(k\)-sample problems with dependent data
- Small sample properties of alternative tests for martingale difference hypothesis
- On the choice of the smoothing parameter for the BHEP goodness-of-fit test
- Testing the martingale difference hypothesis using integrated regression functions
- Testing that a stationary time series is Gaussian
- Testing that a Gaussian process is stationary
- Spectral based testing of the martingale hypothesis
- Checking the adequacy of the multivariate semiparametric location shift model
- Jackknife, bootstrap and other resampling methods in regression analysis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- The Bierens test under data dependence
- A multiple variance ratio test using subsampling
- Normality testing for a long-memory sequence using the empirical moment generating function
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Bootstrap and wild bootstrap for high dimensional linear models
- Data-driven smooth tests for the martingale difference hypothesis
- Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory
- An automatic portmanteau test for serial correlation
- A New Test of the Martingale Difference Hypothesis
- An efficiency result for the empirical characteristic function in stationary time-series models
- ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
- A monte carlo analysis of two spectral tests of the martingale hypothesis
- On a measure of lack of fit in time series models
- Asymptotic Theory of Integrated Conditional Moment Tests
- Testing the Martingale Difference Hypothesis
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
- INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
- Relations between Weak and Uniform Convergence of Measures with Applications
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Comments on: ``An updated review of goodness-of-fit tests for regression models
