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Generalized spectral tests for the martingale difference hypothesis

  • Escanciano, J. Carlos
  • Velasco, Carlos

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(05)00141-7
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 134 (2006)
Issue (Month): 1 (September)
Pages: 151-185

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Handle: RePEc:eee:econom:v:134:y:2006:i:1:p:151-185
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  2. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
  3. Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre.
  4. Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-71, July-Sept.
  5. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  6. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  7. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  8. Neuhaus, Georg, 1976. "Asymptotic power properties of the Cramér-von Mises test under contiguous alternatives," Journal of Multivariate Analysis, Elsevier, vol. 6(1), pages 95-110, March.
  9. Chung-Ming Kuan & Wei-Ming Lee, 2003. "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research 03-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  10. Chen, Xiaohong & White, Halbert, 1998. "Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications," Econometric Theory, Cambridge University Press, vol. 14(02), pages 260-284, April.
  11. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
  12. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  13. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  14. Efstathios Paparoditis, 2000. "Spectral Density Based Goodness-of-Fit Tests for Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 143-176.
  15. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
  16. Franklin Satterthwaite, 1941. "Synthesis of variance," Psychometrika, Springer, vol. 6(5), pages 309-316, October.
  17. Fan, Yanqin & Li, Qi, 2000. "Consistent Model Specification Tests," Econometric Theory, Cambridge University Press, vol. 16(06), pages 1016-1041, December.
  18. Chen, Xiaohong & White, Halbert, 1996. "Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications," Econometric Theory, Cambridge University Press, vol. 12(02), pages 284-304, June.
  19. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  20. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
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