Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence

Author:

Dufour Jean-Marie,Trognon Alain,Tuvaandorj Purevdorj

Publisher

Springer New York

Reference71 articles.

1. Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59, 817–858.

2. Andrews, D. W. K., & Monahan, J. C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, 60, 953–966.

3. Bartoo, J. B., & Puri, P. S. (1967). On optimal asymptotic tests of composite statistical hypotheses. The Annals of Mathematical Statistics, 38(6), 1845–1852.

4. Basawa, I. V. (1985). Neyman–Le Cam tests based on estimating functions. In L. Le Cam & R. A. Olshen (Eds.), Berkeley Conference in Honor of Jerzy Neyman and Jack Kiefer (pp. 811–825). Belmont, CA: Wadsworth.

5. Basawa, I. V., Godambe, V. P., & Taylor, R. L., (Eds.), (1997). Selected proceedings of the symposium on estimating functions, Vol. 32 of IMS lecture notes monograph series. Hayward, CA: Institute of Mathematical Statistics.

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