메뉴 건너뛰기




Volumn 17, Issue 2, 2001, Pages 386-423

Testing for serial correlation of unknown form using wavelet methods

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035589091     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466601172051     Document Type: Article
Times cited : (29)

References (27)
  • 2
    • 21144475350 scopus 로고
    • Goodness of fit tests for spectral distributions
    • Anderson, T.W. (1993) Goodness of fit tests for spectral distributions. Annals of Statistics 21, 830-847.
    • (1993) Annals of Statistics , vol.21 , pp. 830-847
    • Anderson, T.W.1
  • 3
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 6
    • 84986833274 scopus 로고
    • Determining the bandwidth of a kernel spectrum estimate
    • Beltrao, K. & P. Bloomfield (1987) Determining the bandwidth of a kernel spectrum estimate. Journal of Time Series Analysis 8, 21-38.
    • (1987) Journal of Time Series Analysis , vol.8 , pp. 21-38
    • Beltrao, K.1    Bloomfield, P.2
  • 7
    • 84945595789 scopus 로고
    • Distribution of residual autocorrelations in autoregressive integrated moving average time series models
    • Box, G. & D. Pierce (1970) Distribution of residual autocorrelations in autoregressive integrated moving average time series models. Journal of the American Statistical Association 65, 1509-1526.
    • (1970) Journal of the American Statistical Association , vol.65 , pp. 1509-1526
    • Box, G.1    Pierce, D.2
  • 10
    • 0041958932 scopus 로고
    • Ideal spatial adaptation by wavelet shrinkage
    • Donoho, D.L. & I.M. Johnstone (1994) Ideal spatial adaptation by wavelet shrinkage. Biometrika 81, 425-455.
    • (1994) Biometrika , vol.81 , pp. 425-455
    • Donoho, D.L.1    Johnstone, I.M.2
  • 14
    • 78650014134 scopus 로고
    • Testing for serial correlation in least squares regression: I
    • Durbin, J. & G.S. Watson (1950) Testing for serial correlation in least squares regression: I. Biometrika 37, 409-428.
    • (1950) Biometrika , vol.37 , pp. 409-428
    • Durbin, J.1    Watson, G.S.2
  • 15
    • 30244459245 scopus 로고
    • Testing for serial correlation in least squares regression: II
    • Durbin, J. & G.S. Watson (1951) Testing for serial correlation in least squares regression: II. Biometrika 38, 159-178.
    • (1951) Biometrika , vol.38 , pp. 159-178
    • Durbin, J.1    Watson, G.S.2
  • 16
    • 0013186231 scopus 로고
    • Spectral based testing for the martingale hypothesis
    • Durlauf, S. (1991) Spectral based testing for the martingale hypothesis. Journal of Econometrics 50, 1-19.
    • (1991) Journal of Econometrics , vol.50 , pp. 1-19
    • Durlauf, S.1
  • 19
    • 0000681385 scopus 로고
    • Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables
    • Godfrey, L. (1978a) Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica 46, 1293-1302.
    • (1978) Econometrica , vol.46 , pp. 1293-1302
    • Godfrey, L.1
  • 20
    • 0000681385 scopus 로고
    • Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables
    • Godfrey, L. (1978b) Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 1303-1310.
    • (1978) Econometrica , vol.46 , pp. 1303-1310
    • Godfrey, L.1
  • 21
    • 17944364723 scopus 로고
    • Wavelets in macroeconomics: An introduction
    • D. Belsley (ed.), The Netherlands: Kluwer Academic Publishers
    • Goffe, W.L. (1994) Wavelets in macroeconomics: An introduction. In D. Belsley (ed.), Computational Techniques for Econometrics and Economic Analysis, pp. 137-149. The Netherlands: Kluwer Academic Publishers.
    • (1994) Computational Techniques for Econometrics and Economic Analysis , pp. 137-149
    • Goffe, W.L.1
  • 24
    • 0030353688 scopus 로고    scopus 로고
    • Consistent testing for serial correlation of unknown form
    • Hong, Y. (1996) Consistent testing for serial correlation of unknown form. Econometrica 64, 837-864.
    • (1996) Econometrica , vol.64 , pp. 837-864
    • Hong, Y.1
  • 25
    • 0001619736 scopus 로고    scopus 로고
    • An alternative maximum likelihood estimator of long memory processes using compactly supported wavelets
    • Jensen, M.J. (2000) An alternative maximum likelihood estimator of long memory processes using compactly supported wavelets. Journal of Economic Dynamics and Control 24, 361-387.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 361-387
    • Jensen, M.J.1
  • 26
    • 0001786009 scopus 로고    scopus 로고
    • Spectral density estimation via nonlinear wavelet methods for stationary non-Gaussian time series
    • Neumann, M.H. (1996) Spectral density estimation via nonlinear wavelet methods for stationary non-Gaussian time series. Journal of Time Series Analysis 17, 601-633.
    • (1996) Journal of Time Series Analysis , vol.17 , pp. 601-633
    • Neumann, M.H.1
  • 27
    • 0001031094 scopus 로고
    • On consistent estimate of the spectrum of a stationary time series
    • Parzen, E. (1957) On consistent estimate of the spectrum of a stationary time series. Annals of Mathematical Statistics 28, 329-348.
    • (1957) Annals of Mathematical Statistics , vol.28 , pp. 329-348
    • Parzen, E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.