Optimal tests for autoregressive models based on autoregression rank scores
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2089.
Date of creation: 1999
Date of revision:
Publication status: Published in: Annals of Statistics (1999) v.27,p.1385-1414
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- Escanciano, Juan Carlos & Velasco, Carlos, 2010.
"Specification tests of parametric dynamic conditional quantiles,"
Journal of Econometrics,
Elsevier, vol. 159(1), pages 209-221, November.
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- Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
- J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
- Jurečková, Jana & Picek, Jan, 2012. "Regression quantiles and their two-step modifications," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1111-1115.
- Jurecková, Jana, 2010. "Finite-sample distribution of regression quantiles," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1940-1946, December.
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