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Citations for "Consistent Testing for Serial Correlation of Unknown Form"

by Hong, Yongmiao

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  1. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004.
  2. Javier Hidalgo & Myung Hwan Seo, 2015. "Specification tests for lattice processes," LSE Research Online Documents on Economics 66104, London School of Economics and Political Science, LSE Library.
  3. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests In Ucarima Models," Working Papers wp2014_1406, CEMFI.
  4. Duchesne, Pierre & Roy, Roch, 2004. "On consistent testing for serial correlation of unknown form in vector time series models," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 148-180, April.
  5. Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  6. Li, Yushu & Andersson, Fredrik N. G., 2014. "A simple wavelet-based test for serial correlation in panel data models," Discussion Papers 2014/11, Department of Business and Management Science, Norwegian School of Economics.
  7. Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
  8. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
  9. William A. Barnett & Melvin J. Hinich & Piyu Yue, . "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, EconWPA.
  10. Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper Series 04_10, The Rimini Centre for Economic Analysis.
  11. repec:wyi:journl:002120 is not listed on IDEAS
  12. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  13. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  14. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  15. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  16. Pierre Duchesne, 2005. "On the asymptotic distribution of residual autocovariances in VARX models with applications," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.
  17. Laura Mayoral, 2007. "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 124-148, 03.
  18. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
  19. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
  20. Sant'Anna, Pedro H. C., 2013. "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy," MPRA Paper 48376, University Library of Munich, Germany.
  21. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  22. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers CWP06/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  23. Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
  24. repec:wyi:journl:002156 is not listed on IDEAS
  25. repec:wyi:journl:002064 is not listed on IDEAS
  26. Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
  27. repec:wyi:journl:002081 is not listed on IDEAS
  28. repec:wyi:journl:002087 is not listed on IDEAS
  29. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  30. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  31. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  32. Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
  33. Javier Hidalgo & Myung Hwan Seo, 2013. "Specification For Lattice Processes," STICERD - Econometrics Paper Series 562, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  34. Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  35. Hidalgo, J. & Kreiss, J.-P., 2006. "Bootstrap specification tests for linear covariance stationary processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 807-839, August.
  36. Javier Hidalgo & Myung Hwan Seo, 2013. "Specification for lattice processes," LSE Research Online Documents on Economics 58191, London School of Economics and Political Science, LSE Library.
  37. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
  38. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
  39. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  40. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  41. Velasco, Carlos & Delgado, Miguel A., 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," UC3M Working papers. Economics we101707, Universidad Carlos III de Madrid. Departamento de Economía.
  42. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
  43. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
  44. Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
  45. Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.
  46. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics 6840, London School of Economics and Political Science, LSE Library.
  47. Min Hwang & John Quigley, 2010. "Housing Price Dynamics in Time and Space: Predictability, Liquidity and Investor Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 3-23, July.
  48. Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
  49. Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
  50. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  51. Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
  52. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
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