Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
Author:
Affiliation:
1. College of Economics, Jinan University, Guangzhou, China;
2. Department of Statistics & Actuarial Science, University of Hong Kong, Pok Fu Lam Road, Hong Kong;
3. Department of Statistics, University of Illinois at Urbana-Champaign, Champaign, IL
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1889568
Reference55 articles.
1. Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
2. Asymptotic Theory of Integrated Conditional Moment Tests
3. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
4. A unified approach to validating univariate and multivariate conditional distribution models in time series
5. An adaptive empirical likelihood test for parametric time series regression models
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses;Journal of Business & Economic Statistics;2024-02-13
2. A new generalized exponentially weighted moving average quantile model and its statistical inference;Journal of Econometrics;2023-11
3. On portmanteau-type tests for nonlinear multivariate time series;Journal of Multivariate Analysis;2023-05
4. Quo Vadis Tax and Levy Burden of Wages in the Czech Republic? Tax Reform in 2022;Journal of Tax Reform;2022
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3