메뉴 건너뛰기




Volumn 50, Issue 2, 2008, Pages 97-123

Semi-parametric analysis of covariance under dependence conditions within each group

Author keywords

Hypothesis testing; Non parametric inference; Partial linear models; Time series

Indexed keywords


EID: 47249152280     PISSN: 13691473     EISSN: 1467842X     Source Type: Journal    
DOI: 10.1111/j.1467-842X.2008.00510.x     Document Type: Article
Times cited : (3)

References (37)
  • 1
    • 1642602831 scopus 로고    scopus 로고
    • Plug-in bandwidth choice for estimation of nonparametric part in partial linear regression models with strong mixing errors
    • Aneiros-Pérez, G. (2004). Plug-in bandwidth choice for estimation of nonparametric part in partial linear regression models with strong mixing errors. Statist. Papers 45, 191 210.
    • (2004) Statist. Papers , vol.45 , pp. 191-210
    • Aneiros-Pérez, G.1
  • 2
    • 0001940061 scopus 로고    scopus 로고
    • Plug-in bandwidth choice in partial linear models with autoregressive errors
    • &
    • Aneiros-Pérez, G. & Quintela-Del-Río, A. (2002). Plug-in bandwidth choice in partial linear models with autoregressive errors. J. Statist. Plann. Inference 100, 23 48.
    • (2002) J. Statist. Plann. Inference , vol.100 , pp. 23-48
    • Aneiros-Pérez, G.1    Quintela-Del-Río, A.2
  • 3
    • 33745184792 scopus 로고    scopus 로고
    • Estimation and testing in a partial linear regression model under long-memory dependence
    • &
    • Aneiros-Pérez, G., González-Manteiga, W. & Vieu, P. (2004). Estimation and testing in a partial linear regression model under long-memory dependence. Bernoulli 10, 49 78.
    • (2004) Bernoulli , vol.10 , pp. 49-78
    • Aneiros-Pérez, G.1    González-Manteiga, W.2    Vieu, P.3
  • 4
    • 38249018319 scopus 로고
    • A multivariate generalized ARCH approach to modelling risk premia in forward foreign exchange rate markets
    • &
    • Baillie, R.T. & Bollerslev, T. (1990). A multivariate generalized ARCH approach to modelling risk premia in forward foreign exchange rate markets. J. Int. Money Financ. 9, 309 324.
    • (1990) J. Int. Money Financ. , vol.9 , pp. 309-324
    • Baillie, R.T.1    Bollerslev, T.2
  • 5
    • 21844491235 scopus 로고
    • The time-variation of expected returns and volatility in foreign exchange markets
    • Bekaert, G. (1995). The time-variation of expected returns and volatility in foreign exchange markets. J. Bus. Econom. Statist. 13, 397 408.
    • (1995) J. Bus. Econom. Statist. , vol.13 , pp. 397-408
    • Bekaert, G.1
  • 6
    • 0032364139 scopus 로고    scopus 로고
    • Root-n-consistent estimation in partial linear models with long-memory errors
    • &
    • Beran, J. & Ghosh, S. (1998). Root-n-consistent estimation in partial linear models with long-memory errors. Scand. J. Statist. 25, 345 357.
    • (1998) Scand. J. Statist. , vol.25 , pp. 345-357
    • Beran, J.1    Ghosh, S.2
  • 7
    • 0001268257 scopus 로고    scopus 로고
    • Testing linearity of regression models with dependent errors by kernel based methods
    • &
    • Biedermann, S. & Dette, H. (2000). Testing linearity of regression models with dependent errors by kernel based methods. Test 9, 417 438.
    • (2000) Test , vol.9 , pp. 417-438
    • Biedermann, S.1    Dette, H.2
  • 8
    • 0035470901 scopus 로고    scopus 로고
    • Nonparametric analysis of covariance
    • &
    • Dette, H. & Neumeyer, N. (2001). Nonparametric analysis of covariance. Ann. Statist. 29, 1361 1400.
    • (2001) Ann. Statist. , vol.29 , pp. 1361-1400
    • Dette, H.1    Neumeyer, N.2
  • 9
    • 0012921755 scopus 로고
    • Nonparametric estimates of the relation between weather and electricity sales
    • &
    • Engle, R., Granger, C., Rice, J. & Weiss, A. (1986). Nonparametric estimates of the relation between weather and electricity sales. J. Amer. Statist. Assoc. 81, 310 320.
    • (1986) J. Amer. Statist. Assoc. , vol.81 , pp. 310-320
    • Engle, R.1    Granger, C.2    Rice, J.3    Weiss, A.4
  • 10
    • 48549113655 scopus 로고
    • Forward and spot exchange rates
    • Fama, E.F. (1984). Forward and spot exchange rates. J. Monetary Econom. 14, 319 338.
    • (1984) J. Monetary Econom. , vol.14 , pp. 319-338
    • Fama, E.F.1
  • 11
    • 34548232194 scopus 로고    scopus 로고
    • Nonparametric regression on functional data: Inference and practical aspects
    • &
    • Ferraty, F., Mas, A. & Vieu, P. (2007). Nonparametric regression on functional data: Inference and practical aspects. Aust. N. Z. J. Statist. 49, 267 286.
    • (2007) Aust. N. Z. J. Statist. , vol.49 , pp. 267-286
    • Ferraty, F.1    Mas, A.2    Vieu, P.3
  • 12
    • 84963437823 scopus 로고
    • Asymptotic theory for partly linear models
    • Gao, J.T. (1995). Asymptotic theory for partly linear models. Commun. Statist. Theory Meth. 24, 1985 2009.
    • (1995) Commun. Statist. Theory Meth. , vol.24 , pp. 1985-2009
    • Gao, J.T.1
  • 13
    • 0001257368 scopus 로고
    • Estimating regression functions and their derivatives by the kernel method
    • &
    • Gasser, T. & Müller, H.G. (1984). Estimating regression functions and their derivatives by the kernel method. Scand. J. Statist. 11, 171 185.
    • (1984) Scand. J. Statist. , vol.11 , pp. 171-185
    • Gasser, T.1    Müller, H.G.2
  • 16
    • 0001173556 scopus 로고
    • Choice of bandwidth for kernel regression when residuals are correlated
    • &
    • Herrmann, E., Gasser, T. & Kneip, A. (1992). Choice of bandwidth for kernel regression when residuals are correlated. Biometrika 79, 783 795.
    • (1992) Biometrika , vol.79 , pp. 783-795
    • Herrmann, E.1    Gasser, T.2    Kneip, A.3
  • 17
    • 0000636504 scopus 로고
    • Some limit theorems for stationary processes
    • Ibragimov, I.A. (1962). Some limit theorems for stationary processes. Theory Probab. Appl. 7, 349 382.
    • (1962) Theory Probab. Appl. , vol.7 , pp. 349-382
    • Ibragimov, I.A.1
  • 19
    • 21144476148 scopus 로고
    • Contrasts under long-range correlations
    • &
    • Künsch, H., Beran, J. & Hampel, F. (1993). Contrasts under long-range correlations. Ann. Statist. 21, 943 964.
    • (1993) Ann. Statist. , vol.21 , pp. 943-964
    • Künsch, H.1    Beran, J.2    Hampel, F.3
  • 20
    • 21744436141 scopus 로고    scopus 로고
    • On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity
    • &
    • Ling, S. & Li, W.K. (1997). On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. J. Amer. Statist. Assoc. 92, 1184 1194.
    • (1997) J. Amer. Statist. Assoc. , vol.92 , pp. 1184-1194
    • Ling, S.1    Li, W.K.2
  • 21
    • 0029427071 scopus 로고
    • Second order approximation in the partially linear regression model
    • Linton, O. (1995). Second order approximation in the partially linear regression model. Econometrica 63, 1079 1112.
    • (1995) Econometrica , vol.63 , pp. 1079-1112
    • Linton, O.1
  • 22
    • 0038015661 scopus 로고    scopus 로고
    • Testing for forward-rate unbiasedness: On regression in levels and in returns
    • Maynard, A. (2003). Testing for forward-rate unbiasedness: On regression in levels and in returns. Rev. Econom. Statist. 85, 313 327.
    • (2003) Rev. Econom. Statist. , vol.85 , pp. 313-327
    • Maynard, A.1
  • 23
    • 0035562324 scopus 로고    scopus 로고
    • Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly
    • &
    • Maynard, A. & Phillips, P.C.B. (2001). Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly. J. Appl. Econometrics 16, 671 708.
    • (2001) J. Appl. Econometrics , vol.16 , pp. 671-708
    • Maynard, A.1    Phillips, P.C.B.2
  • 24
    • 77956887597 scopus 로고
    • Detecting dependencies in smooth regression models
    • &
    • Müller, H.G. & Stadmüller, U. (1988). Detecting dependencies in smooth regression models. Biometrika 75, 639 650.
    • (1988) Biometrika , vol.75 , pp. 639-650
    • Müller, H.G.1    Stadmüller, U.2
  • 25
    • 0032235630 scopus 로고    scopus 로고
    • Nonparametric comparison of several regression functions: Exact and asymptotic theory
    • &
    • Munk, A. & Dette, H. (1998). Nonparametric comparison of several regression functions: Exact and asymptotic theory. Ann. Statist. 26, 2339 2368.
    • (1998) Ann. Statist. , vol.26 , pp. 2339-2368
    • Munk, A.1    Dette, H.2
  • 26
    • 0011995247 scopus 로고    scopus 로고
    • Longitudinal data with nonstationary errors: A nonparametric three-stage approach
    • &
    • Núñez-Antón, V., Rodríguez-Poo, J.M. & Vieu, P. (1999). Longitudinal data with nonstationary errors: A nonparametric three-stage approach. Test 8, 201 231.
    • (1999) Test , vol.8 , pp. 201-231
    • Núñez-Antón, V.1    Rodríguez-Poo, J.M.2    Vieu, P.3
  • 28
    • 84948238676 scopus 로고
    • Boundary modification for kernel estimation
    • Rice, J. (1984). Boundary modification for kernel estimation. Commun. Statist. Theory Meth. 13, 893 900.
    • (1984) Commun. Statist. Theory Meth. , vol.13 , pp. 893-900
    • Rice, J.1
  • 29
    • 0000218602 scopus 로고
    • Root-n-consistent semiparametric regression
    • Robinson, P. (1988). Root-n-consistent semiparametric regression. Econometrica 56, 931 954.
    • (1988) Econometrica , vol.56 , pp. 931-954
    • Robinson, P.1
  • 30
    • 0009244662 scopus 로고
    • Probability bounds for sums in triangular arrays of random variables under mixing conditions
    • In. ed. K. Matusita, pp. New York: North Holland.
    • Roussas, G. & Ioannides, D.A. (1988). Probability bounds for sums in triangular arrays of random variables under mixing conditions. In Statistical Theory and Data Analysis II, ed. K. Matusita, pp. 293 308. New York : North Holland.
    • (1988) Statistical Theory and Data Analysis II , pp. 293-308
    • Roussas, G.1    Ioannides, D.A.2
  • 32
    • 20744442433 scopus 로고    scopus 로고
    • Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    • &
    • Spagnolo, F., Psaradakis, Z. & Sola, M. (2005). Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables. J. Appl. Econometrics 20, 423 437.
    • (2005) J. Appl. Econometrics , vol.20 , pp. 423-437
    • Spagnolo, F.1    Psaradakis, Z.2    Sola, M.3
  • 33
    • 0000713437 scopus 로고
    • Kernel smoothing in partial linear models
    • Speckman, P. (1988). Kernel smoothing in partial linear models. J. Roy. Statist. Soc. Ser. B 50, 413 436.
    • (1988) J. Roy. Statist. Soc. Ser. B , vol.50 , pp. 413-436
    • Speckman, P.1
  • 34
    • 0000388992 scopus 로고
    • Consistent nonparametric regression
    • Stone, C. (1977). Consistent nonparametric regression. Ann. Statist. 5, 595 645.
    • (1977) Ann. Statist. , vol.5 , pp. 595-645
    • Stone, C.1
  • 35
    • 2442629474 scopus 로고    scopus 로고
    • Nonparametric comparison of curves with dependent errors
    • &
    • Vilar-Fernández, J.M. & González-Manteiga, W. (2004). Nonparametric comparison of curves with dependent errors. Statistics 38, 81 99.
    • (2004) Statistics , vol.38 , pp. 81-99
    • Vilar-Fernández, J.M.1    González-Manteiga, W.2
  • 37
    • 0002411948 scopus 로고
    • Asymptotic properties of the LSE in a regression model with long-memory stationary errors
    • Yajima, Y. (1991). Asymptotic properties of the LSE in a regression model with long-memory stationary errors. Annals Statist. 19, 158 177.
    • (1991) Annals Statist. , vol.19 , pp. 158-177
    • Yajima, Y.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.