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On estimation and testing goodness of fit for m-dependent stable sequences

  • Published:2000-12 Issue:2 Volume:99 Page:349-372
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Deo Rohit S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference18 articles.

1. Estimation of stable-law parameters: a comparative study;Akgiray;Journal of Business and Economic Statistics,1989

2. An improved heteroscedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

3. A method for simulating stable random variables;Chambers;Journal of the American Statistical Association,1976

4. Testing for stability, in goodness-of-fit;Csörgo;Colloquia Mathematica Societatis Janos Bolyai,1987

5. On the relation between GARCH and stable processes;de Vries;Journal of Econometrics,1991

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