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Generalized runs tests for the IID hypothesis
16 references·1 citing·52 second hop
Generalized runs tests for the IID hypothesis (2011)Generalized runs tests for the IID hypoth…Nonmonotonic power for tests of a mean shift in a time series (2007)Nonmonotonic power for tests …Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence (2005)Asymptotic Distribution Theor…WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS (2004)WEAK DEPENDENCE: MODELS AND A…Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach (1999)Hypothesis Testing in Time Se…New Tools for Understanding Spurious Regressions (1998)New Tools for Understanding S…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …A consistent nonparametric test for serial independence (1998)A consistent nonparametric te…TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION (1996)TESTING SERIAL INDEPENDENCE U…The Moving-Estimates Test for Parameter Stability (1995)The Moving-Estimates Test for…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Consistent Nonparametric Entropy-Based Testing (1991)Consistent Nonparametric Entr…Intertemporal Substitution in Labor Supply: Evidence from Micro Data (1986)Intertemporal Substitution in…RANK TESTS FOR SERIAL DEPENDENCE (1981)RANK TESTS FOR SERIAL DEPENDE…An Empirical Model of Labor Supply in a Life Cycle Setting (1980)An Empirical Model of Labor S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …A residual bootstrap for conditional Value-at-Risk (2023)A residual bootstrap for cond…Understanding spurious regressions in econometrics (1986)Towards a Unified Asymptotic Theory for Autoregression (1987)Spurious Regressions in Financial Economics? 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(2012)Intertemporal Substitution in Macroeconomics (1982)Time to Build and Aggregate Fluctuations (1982)On the Covariance Structure of Earnings and Hours Changes (1986)On the Covariance Structure of Earnings and Hours Changes (1989)Labor Supply and Taxes: A Survey (2011)Quantile Coherency: A General Measure for Dependence between Cyclical Economic VariablesEmpirical exchange rate models of the seventies (1983)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Generalized spectral tests for the martingale difference hypothesis (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Theory of the Consumption Function (1957)Real Wages, Employment, and Inflation (1969)Chapter 22 Panel data (1984)A Profitable Approach to Labor Supply and Commodity Demands over the Life-Cycle (1985)Chapter 7 The human capital model (2000)
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References

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63 cited
  • 2007Nonmonotonic power for tests of a mean shift in a time series47 cited
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    • 2023A residual bootstrap for conditional Value-at-Risk23 cited