Efficient detection of random coefficients in autoregressive models
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/127956.
Date of creation: Apr 2003
Date of revision:
Publication status: Published in: Annals of statistics (2003) v.31 n° 2,p.675-704
Local asymptotic normality; One-sided multiparameter alternatives; One-sided multiparameter tests; Random coefficient autoregressive models;
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- Christian Francq & Jean-Michel Zakoïan, 2008.
"Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons,"
Working Papers, Centre de Recherche en Economie et Statistique
2008-04, Centre de Recherche en Economie et Statistique.
- Francq, Christian & ZakoÃ¯an, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
- Lu, Zeng-Hua, 2013. "Halfline tests for multivariate one-sided alternatives," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 57(1), pages 479-490.
- Christian Francq & Jean-Michel ZakoÃ¯an, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006, Society for Computational Economics 64, Society for Computational Economics.
- Bennala, Nezar & Hallin, Marc & Paindaveine, Davy, 2012. "Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 50-67.
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