메뉴 건너뛰기




Volumn 96, Issue 455, 2001, Pages 1066-1076

Testing that a dependent process is uncorrelated

Author keywords

Autocorrelation; Bootstrap; Functional central limit theorem

Indexed keywords


EID: 0442312202     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1198/016214501753208726     Document Type: Article
Times cited : (123)

References (26)
  • 1
    • 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
  • 2
    • 0031541210 scopus 로고    scopus 로고
    • ARCH and bilinearity as competing models for nonlinear dependence
    • Bera, A. K., and Higgins, M. L. (1997), “ARCH and bilinearity as competing models for nonlinear dependence,” Journal of Business and Economic Statistics, 15, 43–51.
    • (1997) Journal of Business and Economic Statistics , vol.15 , pp. 43-51
    • Bera, A.K.1    Higgins, M.L.2
  • 3
    • 0001643055 scopus 로고
    • Consistent Autoregressive Spectral Estimates
    • Berk, K. N. (1974), “Consistent Autoregressive Spectral Estimates,” Annals of Statistics, 2, 489–502.
    • (1974) Annals of Statistics , vol.2 , pp. 489-502
    • Berk, K.N.1
  • 4
    • 0015894045 scopus 로고
    • An Exponential Model for the Spectrum of a Scalar Time Series
    • Bloomfield, P. (1973), “An Exponential Model for the Spectrum of a Scalar Time Series,” Biometrika, 60, 217–226.
    • (1973) Biometrika , vol.60 , pp. 217-226
    • Bloomfield, P.1
  • 6
    • 0031505926 scopus 로고    scopus 로고
    • Central Limit Theorems for Dependent Heterogeneous Random Variables
    • de Jong, R. M. (1997), “Central Limit Theorems for Dependent Heterogeneous Random Variables,” Econometric Theory, 13, 353–367.
    • (1997) Econometric Theory , vol.13 , pp. 353-367
    • De Jong, R.M.1
  • 7
    • 0034367314 scopus 로고    scopus 로고
    • The Functional Central Limit Theorem and Weak Convergence to Stochastic Integrals I: Weakly Dependent Processes
    • de Jong, R. M., and Davidson, J. (2000), “The Functional Central Limit Theorem and Weak Convergence to Stochastic Integrals I: Weakly Dependent Processes,” Econometric Theory, 16, 621–642.
    • (2000) Econometric Theory , vol.16 , pp. 621-642
    • De Jong, R.M.1    Davidson, J.2
  • 8
    • 70350303310 scopus 로고    scopus 로고
    • A Practitioners Guide to Robust Covariance Matrix Estimation,”
    • G. S. Maddala and C. R. Rao, Amsterdam: North-Holland
    • Den Haan, W. J., and Levin, A. (1997), “A Practitioner’s Guide to Robust Covariance Matrix Estimation,” in Handbook of Statistics: Robust Inference (Vol. 15), eds. G. S. Maddala and C. R. Rao, Amsterdam: North-Holland, 291–341.
    • (1997) Handbook of Statistics: Robust Inference , vol.15 , pp. 291-341
    • Den Haan, W.J.1    Levin, A.2
  • 11
    • 0000000991 scopus 로고
    • On Limit Theorems for Quadratic Functions of Discrete Time Series
    • Hannan, E. J., and Heyde, C. C. (1972), “On Limit Theorems for Quadratic Functions of Discrete Time Series,” Annals of Mathematical Statistics, 43, 2058–2066.
    • (1972) Annals of Mathematical Statistics , vol.43 , pp. 2058-2066
    • Hannan, E.J.1    Heyde, C.C.2
  • 12
    • 0000052574 scopus 로고
    • A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables
    • Herrndorf, N. (1984), “A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables,” Annals of Probability, 12, 141–153.
    • (1984) Annals of Probability , vol.12 , pp. 141-153
    • Herrndorf, N.1
  • 13
    • 0000328680 scopus 로고    scopus 로고
    • Simple Robust Testing of Regression Hypothesis
    • Kiefer, N. M., Vogelsang, T. J., and Bunzel, H. (2000), “Simple Robust Testing of Regression Hypothesis,” Econometrica, 68, 695–714.
    • (2000) Econometrica , vol.68 , pp. 695-714
    • Kiefer, N.M.1    Vogelsang, T.J.2    Bunzel, H.3
  • 14
    • 0000181737 scopus 로고
    • The Jackknife and the Bootstrap for General Stationary Observations
    • Künsch, H. R. (1989), “The Jackknife and the Bootstrap for General Stationary Observations,” Annals of Statistics, 17, 1217–1241.
    • (1989) Annals of Statistics , vol.17 , pp. 1217-1241
    • Künsch, H.R.1
  • 16
    • 0347540290 scopus 로고    scopus 로고
    • Testing for Autocorrelation Using a Modified Box–Pierce Q Test
    • Lobato, I. N., Nankervis, J. C., and Savin, N. E. (2001b), “Testing for Autocorrelation Using a Modified Box–Pierce Q Test,” International Economic Review, 42, 187–205.
    • (2001) International Economic Review , vol.42 , pp. 187-205
    • Lobato, I.N.1    Nankervis, J.C.2    Savin, N.E.3
  • 17
    • 49049143455 scopus 로고
    • Trends and Random Walks in Macroeconomic Time Series
    • Nelson, C. R., and Plosser, C. I. (1982), “Trends and Random Walks in Macroeconomic Time Series,” Journal of Monetary Economics, 10, 139–167.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-167
    • Nelson, C.R.1    Plosser, C.I.2
  • 18
    • 0001745054 scopus 로고
    • An Invariance Principle for -Mixing Sequences,”
    • Peligrad, M. (1985), “An Invariance Principle for ”-Mixing Sequences,” The Annals of Probability, 13, 1304–1313.
    • (1985) The Annals of Probability , vol.13 , pp. 1304-1313
    • Peligrad, M.1
  • 19
    • 0001624219 scopus 로고
    • Asymptotics for Linear Processes
    • Phillips, P. C. B., and Solo, V. (1992), “Asymptotics for Linear Processes,” The Annals of Statistics, 20, 971–1001.
    • (1992) The Annals of Statistics , vol.20 , pp. 971-1001
    • Phillips, P.C.B.1    Solo, V.2
  • 20
    • 0001232820 scopus 로고    scopus 로고
    • Subsampling for Heteroskedastic Time Series
    • Politis, D. N., Romano, J. P., and Wolf, M. (1997), “Subsampling for Heteroskedastic Time Series,” Journal of Econometrics, 81, 281–318.
    • (1997) Journal of Econometrics , vol.81 , pp. 281-318
    • Politis, D.N.1    Romano, J.P.2    Wolf, M.3
  • 21
    • 0000361085 scopus 로고
    • Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
    • Robinson, P. M. (1991), “Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models,” Econometrica, 59, 1329–1364.
    • (1991) Econometrica , vol.59 , pp. 1329-1364
    • Robinson, P.M.1
  • 22
    • 0000787377 scopus 로고    scopus 로고
    • Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
    • Robinson, P. M. (1998), “Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation,” Econometrica, 66, 1163–1182.
    • (1998) Econometrica , vol.66 , pp. 1163-1182
    • Robinson, P.M.1
  • 23
    • 70350344664 scopus 로고    scopus 로고
    • Autocorrelation Robust Inference
    • G. S. Maddala and C. R. Rao, Amsterdam: North-Holland
    • Robinson, P. M., and Velasco, C. (1997), “Autocorrelation Robust Inference,” in Handbook of Statistics: Robust Inference (Vol. 15), eds. G. S. Maddala and C. R. Rao, Amsterdam: North-Holland, 267–298.
    • (1997) Handbook of Statistics: Robust Inference , vol.15 , pp. 267-298
    • Robinson, P.M.1    Velasco, C.2
  • 26
    • 0001760867 scopus 로고    scopus 로고
    • Trend Function Hypothesis Testing in the Presence of Serial Correlation
    • Vogelsang, T. J. (1998), “Trend Function Hypothesis Testing in the Presence of Serial Correlation,” Econometrica, 66, 123–148.
    • (1998) Econometrica , vol.66 , pp. 123-148
    • Vogelsang, T.J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.