Testing the martingale difference hypothesis using integrated regression functions
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- Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Escanciano, Juan Carlos & Mayoral, Silvia, 2010.
"Data-driven smooth tests for the martingale difference hypothesis,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(8), pages 1983-1998, August.
- Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
- Zhou, Xing-cai & Lin, Jin-guan, 2012. "A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error’s structure," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1914-1922.
More about this item
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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