Estimation of time series models using residuals dependence measures-Reference-Cited by-同舟云学术

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Estimation of time series models using residuals dependence measures

Published:2022-10-01 Issue:5 Volume:50 Page:
ISSN:0090-5364
Container-title:The Annals of Statistics
language:
Short-container-title:Ann. Statist.

Author:

Velasco Carlos¹

Affiliation:

1. Department of Economics, Universidad Carlos III de Madrid

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference41 articles.

1. Hong, Y. (1999). Hypothesis testing in time series via the empirical characteristic function: A generalized spectral density approach. J. Amer. Statist. Assoc. 94 1201–1220.

2. Pinkse, J. (1998). A consistent nonparametric test for serial independence. J. Econometrics 84 205–231.

3. DOUKHAN, P. and LOUHICHI, S. (1999). A new weak dependence condition and applications to moment inequalities. Stochastic Process. Appl. 84 313–342.

4. ANATOLYEV, S. (2007). Optimal instruments in time series: A survey. J. Econ. Surv. 21 143–173.

5. ANDREWS, B., DAVIS, R. A. and BREIDT, F. J. (2007). Rank-based estimation for all-pass time series models. Ann. Statist. 35 844–869.

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1. Generalized Covariance Estimator;Journal of Business & Economic Statistics;2022-10-07

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