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Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Citations

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Cited by:

  1. Ye-Sheen Lim & Denise Gorse, 2021. "Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow," Papers 2109.13905, arXiv.org.
  2. Melina Dritsaki & Chaido Dritsaki, 2020. "Forecasting European Union CO2 Emissions Using Autoregressive Integrated Moving Average-autoregressive Conditional Heteroscedasticity Models," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 411-423.
  3. Joana M. Barros & Ruth Melia & Kady Francis & John Bogue & Mary O’Sullivan & Karen Young & Rebecca A. Bernert & Dietrich Rebholz-Schuhmann & Jim Duggan, 2019. "The Validity of Google Trends Search Volumes for Behavioral Forecasting of National Suicide Rates in Ireland," IJERPH, MDPI, vol. 16(17), pages 1-18, September.
  4. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research.
  5. Chatziantoniou, Ioannis & Gabauer, David, 2021. "EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 1-14.
  6. Xin Li & Kai-Hua Wang, 2026. "Does investment in fintech assets enhance performance in China’s financial sector? Evidence from multiple investment strategies," Electronic Commerce Research, Springer, vol. 26(2), pages 1489-1528, April.
  7. Louis Logogye & Godfred Aawaar & Kwasi Poku, 2024. "Regional and global shock spillovers to Africa’s equity markets: evidence from the global financial crisis and COVID-19 pandemic," SN Business & Economics, Springer, vol. 4(12), pages 1-31, December.
  8. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
  9. Aaron Batten, 2010. "Foreign aid, government behaviour, and fiscal policy in Papua New Guinea," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 24(2), pages 142-160, November.
  10. Dimitriadis, Konstantinos A. & Koursaros, Demetris & Savva, Christos S., 2024. "Evaluating the sophisticated digital assets and cryptocurrencies capacities of substituting international currencies in inflationary eras," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  11. Pao, Hsiao-Tien & Yu, Hsiao-Cheng & Yang, Yeou-Herng, 2011. "Modeling the CO2 emissions, energy use, and economic growth in Russia," Energy, Elsevier, vol. 36(8), pages 5094-5100.
  12. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).
  13. Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
  14. Guglielmo Caporale & Nikitas Pittis & Nicola Spagnolo, 2006. "Volatility transmission and financial crises," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(3), pages 376-390, September.
  15. Laura Onofri & Antonello Scorcu, 2006. "The Life Cycle of Temporary Cultural Exhibitions: An Empirical Exploration," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(3), pages 447-460.
  16. Manuel Denzer & Constantin Weiser, 2021. "Beyond F-statistic - A General Approach for Assessing Weak Identification," Working Papers 2107, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
  17. Adnen Ben Nasr & Juncal Cunado & Rıza Demirer & Rangan Gupta, 2018. "Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach," Risks, MDPI, vol. 6(3), pages 1-22, September.
  18. Faouzi Boujedra & Mehdi Ben Jebli & Amel Aloui, 2025. "The effect of public funding and government effectiveness on CO2 emissions in developing countries: Evidence from panel quantile analysis," Natural Resources Forum, Blackwell Publishing, vol. 49(3), pages 2662-2686, August.
  19. Jens J. Krüger, 2021. "Nonparametric portfolio efficiency measurement with higher moments," Empirical Economics, Springer, vol. 61(3), pages 1435-1459, September.
  20. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
  21. repec:jaf:journl:v:13:y:2022:i:1:n:398 is not listed on IDEAS
  22. Zwak-Cantoriu Maria-Cristina, 2023. "The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns," Proceedings of the International Conference on Business Excellence, Paradigm, vol. 17(1), pages 1818-1838, July.
  23. Ibrahim Yousef & Esam Shehadeh, 2020. "The Impact of COVID-19 on Gold Price Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 353-364.
  24. Armah, Mohammed & Amewu, Godfred, 2024. "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
  25. Clare, A.D. & Thomas, S.H., 1992. "Relative price variability and inflation in an equilibrium price misperceptions' model: evidence for the UK," Discussion Paper Series In Economics And Econometrics 9230, Economics Division, School of Social Sciences, University of Southampton.
  26. Lauren Bin Dong & David E. A. Giles, 2004. "An Empirical Likelihood Ratio Test for Normality," Econometrics Working Papers 0401, Department of Economics, University of Victoria.
  27. Karadimitropoulou, Aikaterini & Koulmas, Pavlos & Michaelides, Panayotis G. & Triantafyllou, Athanasios, 2026. "From Paris to Pandemic: How climate risk and policy uncertainty shapes fossil and clean Energy commodities," Journal of Commodity Markets, Elsevier, vol. 41(C).
  28. repec:isu:genstf:201001010800002742 is not listed on IDEAS
  29. Neil R. Ericsson & D. F. Hendry, 1985. "Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom," Springer Books, in: Anthony C. Atkinson & Stephen E. Fienberg (ed.), A Celebration of Statistics, chapter 0, pages 251-285, Springer.
  30. Jawad, Muhammad & Qayyum, Abdul, 2015. "Modelling the Impact of Policy Environment on Inflows of Worker’s Remittances in Pakistan: A Multivariate Analysis," MPRA Paper 85497, University Library of Munich, Germany.
  31. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
  32. Giorgio Canarella & Stephen Pollard, 2004. "Parameter Heterogeneity In The Neoclassical Growth Model: A Quantile Regression Approach," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(1), pages 1-31, June.
  33. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
  34. Tran Thi Mai Hoa & Le Thanh Ha, 2026. "Dynamic connectedness between equity market volatility and green assets dynamic: fresh findings from deep learning TVP-VAR," Journal of Asset Management, Palgrave Macmillan, vol. 27(2), pages 1-15, June.
  35. Jenny Wilkinson, 1992. "Explaining Australia's Imports: 1974–1989," The Economic Record, The Economic Society of Australia, vol. 68(2), pages 151-164, June.
  36. Leon, Costas, 2018. "The Relation between Absences and Grades: A Statistical Analysis," MPRA Paper 84656, University Library of Munich, Germany.
  37. Dwumfour, Richard Adjei & Pan, Lei & Nsafoah, Dennis, 2025. "Dynamic spillovers and portfolio optimization in tourism, Fintech, and cryptocurrency," MPRA Paper 124157, University Library of Munich, Germany.
  38. Rosa Galvão & Rui Dias, 2024. "Asymmetric Efficiency: Contrasting Sustainable Energy Indices with Dirty Cryptocurrencies," Financial Economics Letters, Anser Press, vol. 3(1), pages 28-39, January.
  39. Seyi Saint Akadiri & Oktay Ozkan, 2026. "Tourism, energy use, and urban growth: implications for load capacity and sustainable development," Letters in Spatial and Resource Sciences, Springer, vol. 19(1), pages 1-18, December.
  40. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
  41. Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
  42. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "Monetary policy and uncertainty spillovers: Evidence from a wavelet and frequency connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 95(PC).
  43. İhsan Yanıkoğlu & Erinç Albey & Serkan Okçuoğlu, 2022. "Robust Parameter Design and Optimization for Quality Engineering," SN Operations Research Forum, Springer, vol. 3(1), pages 1-36, March.
  44. Lin, Wei & González-Rivera, Gloria, 2016. "Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 694-711.
  45. Mbarek, Marouene & Msolli, Badreddine, 2025. "Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  46. Saghaian, Sayed & Nemati, Mehdi & Walters, Cory & Chen, Bo, . "Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(01).
  47. Fei Jin & Lung‐fei Lee & Kai Yang, 2024. "Best linear and quadratic moments for spatial econometric models with an application to spatial interdependence patterns of employment growth in US counties," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 640-658, June.
  48. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
  49. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  50. Stephan Höcht & Rudi Zagst, 2010. "Pricing credit derivatives under stochastic recovery in a hybrid model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 254-276, May.
  51. Kalaitzi, Athanasia Stylianou & Chamberlain, Trevor William, 2021. "The validity of the export-led growth hypothesis: some evidence from the GCC," LSE Research Online Documents on Economics 106586, London School of Economics and Political Science, LSE Library.
  52. Stefan Gerlach, 1994. "German unification and the demand for German M3," BIS Working Papers 21, Bank for International Settlements.
  53. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
  54. Aldenis Vásquez & Rafael Alvarado & Brayan Tillaguango & Cem Işık & Muntasir Murshed, 2023. "Impact of Social and Institutional Indicators on the Homicide Rate in Ecuador: An Analysis Using Advanced Time Series Techniques," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 169(1), pages 1-22, September.
  55. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
  56. Silvio John Camilleri & Christopher J. Green, 2009. "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 257-284.
  57. Krüger, Jens J., 2021. "Nonparametric portfolio efficiency measurement with higher moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 130825, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  58. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).
  59. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  60. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
  61. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
  62. Kant, Chander, 2005. "Capital mobility among advanced countries," Journal of Policy Modeling, Elsevier, vol. 27(9), pages 1067-1081, December.
  63. Jaime R. Marquez & Janice Shack-Marquez, 1987. "Financial concentration and development: an empirical analysis of the Venezuelan case," International Finance Discussion Papers 300, Board of Governors of the Federal Reserve System (U.S.).
  64. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
  65. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
  66. Bahadır Yüzbaşı & S. Ejaz Ahmed, 2020. "Ridge Type Shrinkage Estimation of Seemingly Unrelated Regressions And Analytics of Economic and Financial Data from “Fragile Five” Countries," JRFM, MDPI, vol. 13(6), pages 1-19, June.
  67. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
  68. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2010. "The comovements in international stock markets: new evidence from Latin American emerging countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1323-1328.
  69. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  70. Francisco Cribari-Neto, 1996. "On the Corrections to Information Matrix Tests," Econometrics 9601001, University Library of Munich, Germany.
  71. Maozu Lu & Grayham E. Mizon & Chiara Monfardini, 2008. "Simulation Encompassing: Testing Non‐nested Hypotheses," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 781-806, December.
  72. Alonso-Almeida María del Mar & Rodríguez García Martha del Pilar & Cortez Alejandro Klender Aimer & Abreu Quintero José Luis, 2012. "La responsabilidad social corporativa y el desempeño financiero: un análisis en empresas mexicanas que cotizan en la bolsa," Contaduría y Administración, Accounting and Management, vol. 57(1), pages 53-77, enero-mar.
  73. Wang, Jun & Usman, Muhammad & Saqib, Najia & Shahbaz, Muhammad & Hossain, Mohammad Razib, 2023. "Asymmetric environmental performance under economic complexity, globalization and energy consumption: Evidence from the World's largest economically complex economy," Energy, Elsevier, vol. 279(C).
  74. Umar, Zaghum & Kenourgios, Dimitris & Papathanasiou, Sypros, 2020. "The static and dynamic connectedness of environmental, social, and governance investments: International evidence," Economic Modelling, Elsevier, vol. 93(C), pages 112-124.
  75. Ha, Le Thanh, 2025. "From wars to dynamic waves: Scrutinizing connectedness between geopolitical risk index, green and non-green crypto volatility by quantile spillovers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 679(C).
  76. Maghyereh Aktham Issa & Awartani Basel, 2012. "Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations," Review of Middle East Economics and Finance, De Gruyter, vol. 8(1), pages 1-22, August.
  77. Malhotra, Priya & Kumar, Sanjeev & Gubareva, Mariya & Mendes, José Zorro, 2026. "Dynamic nexus of clean energy metals, energy commodities and traditional assets: Multidimensional techniques and portfolio analysis," Research in International Business and Finance, Elsevier, vol. 81(C).
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  80. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  81. Troster, Victor & Shahbaz, Muhammad & Uddin, Gazi Salah, 2018. "Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis," Energy Economics, Elsevier, vol. 70(C), pages 440-452.
  82. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
  83. Luís Miguel Marques & José Alberto Fuinhas & António Cardoso Marques, 2021. "China’s Effect on World Energy-Growth Nexus: Spillovers Evidence from Financial Development and CO 2 Emissions," Economies, MDPI, vol. 9(4), pages 1-24, September.
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  85. Pedregal, Diego J. & Carmen Carnero, Ma, 2006. "State space models for condition monitoring: a case study," Reliability Engineering and System Safety, Elsevier, vol. 91(2), pages 171-180.
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  88. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
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  119. Konstantinos D. Melas & Photis M. Panayides & Dimitris A. Tsouknidis, 2022. "Dynamic volatility spillovers and investor sentiment components across freight-shipping markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 24(2), pages 368-394, June.
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