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A consistent nonparametric test for serial independence

  • Pinkse, Joris
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3T2P4MR-1/2/f2f7268eb0bbde3155e51d1e57713480
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 84 (1998)
    Issue (Month): 2 (June)
    Pages: 205-231

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    Handle: RePEc:eee:econom:v:84:y:1998:i:2:p:205-231
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Hallin, M. & Puri, M.L., 1992. "Rank Tests for Time Series Analysis , A Survey," Papers 9210, Universite Libre de Bruxelles - C.E.M.E..
    2. Pham, Tuan D. & Tran, Lanh T., 1985. "Some mixing properties of time series models," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 297-303, April.
    3. Rosenblatt, Murray & Wahlen, Bruce E., 1992. "A nonparametric measure of independence under a hypothesis of independent components," Statistics & Probability Letters, Elsevier, vol. 15(3), pages 245-252, October.
    4. Csörgo, Sándor, 1985. "Testing for independence by the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 290-299, June.
    5. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.
    6. repec:dgr:kubcen:199315 is not listed on IDEAS
    7. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-45, March.
    8. Dufour, J.M., 1979. "Rank Tests for Serial Dependence," Cahiers de recherche 7815, Universite de Montreal, Departement de sciences economiques.
    9. Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1984. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2167, ULB -- Universite Libre de Bruxelles.
    10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    11. Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
    12. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 437-53, May.
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