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Exact Nonparametric Orthogonality and Random Walk Tests

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Author Info
Dufour, J.M.
Campbell, B.

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Abstract

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Publisher Info
Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9326.

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Length: 25 pages
Date of creation: 1993
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Handle: RePEc:mtl:montec:9326

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Keywords: econometrics ; economic models;

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  1. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," ECARES Working Papers 2009_001, Université Libre de Bruxelles, Ecares. [Downloadable!]
    Other versions:
  2. J. Breitung & C. Gouriéroux, . "Rank Tests for Unit Roots," Sonderforschungsbereich 373 1996-9, Humboldt Universitaet Berlin.
    Other versions:
  3. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Roland Döhrn, 2006. "Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?," RWI Discussion Papers 0051, Rheinisch-Westfälisches Institut für Wirtschaftsforschung. [Downloadable!]
  5. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO. [Downloadable!]
    Other versions:
  6. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
  7. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," Economics Working Papers we086027, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  8. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers 808, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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