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Detecting serial dependence in tail events: a test dual to the BDS test

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  • Diks, Cees

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File URL: http://www.sciencedirect.com/science/article/B6V84-48D70C0-4/2/00d95b8ad4d356e416a87ba2adba644d
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 79 (2003)
Issue (Month): 3 (June)
Pages: 319-324

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Handle: RePEc:eee:ecolet:v:79:y:2003:i:3:p:319-324

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  2. He, Zonglu & Maekawa, Koichi, 2001. "On spurious Granger causality," Economics Letters, Elsevier, vol. 73(3), pages 307-313, December.
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Cited by:
  1. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," Econometrics 0409001, EconWPA.

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