메뉴 건너뛰기




Volumn 94, Issue 1, 2012, Pages 88-99

An alternative asymptotic analysis of residual-based statistics

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84858608024     PISSN: 00346535     EISSN: 15309142     Source Type: Journal    
DOI: 10.1162/REST_a_00151     Document Type: Article
Times cited : (16)

References (34)
  • 1
    • 56349115008 scopus 로고    scopus 로고
    • On the Failure of the Bootstrap for Matching Estimators
    • Abadie, A., and G.W. Imbens, "On the Failure of the Bootstrap for Matching Estimators," Econometrica 76 (2008), 1537-1558.
    • (2008) Econometrica , vol.76 , pp. 1537-1558
    • Abadie, A.1    Imbens, G.W.2
  • 3
    • 34547699191 scopus 로고    scopus 로고
    • Testing Joint Hypotheses When One of the Alternatives is One-Sided
    • Abadir, K., and W. Distaso, "Testing Joint Hypotheses When One of the Alternatives is One-Sided," Journal of Econometrics 140 (2007), 695-718.
    • (2007) Journal of Econometrics , vol.140 , pp. 695-718
    • Abadir, K.1    Distaso, W.2
  • 5
    • 70350121618 scopus 로고
    • Empirical Process Methods in Econometrics
    • Andrews, D. W. K., "Empirical Process Methods in Econometrics," Handbook of Econometrics 37 (1994), 2247-2294.
    • (1994) Handbook of Econometrics , vol.37 , pp. 2247-2294
    • Andrews, D.W.K.1
  • 6
    • 0242508005 scopus 로고    scopus 로고
    • A Consistent Test for Conditional Symmetry in Times Series Models
    • Bai, J., and S. Ng, "A Consistent Test for Conditional Symmetry in Times Series Models," Journal of Econometrics 103 (2001), 225-258.
    • (2001) Journal of Econometrics , vol.103 , pp. 225-258
    • Bai, J.1    Ng, S.2
  • 7
    • 27244446166 scopus 로고    scopus 로고
    • A Test for Symmetry with Leptokurtic Financial Data
    • Bera, A. K., and G. Premaratne, "A Test for Symmetry with Leptokurtic Financial Data," Journal of Financial Econometrics 3 (2005), 169- 187.
    • (2005) Journal of Financial Econometrics , vol.3 , pp. 169-187
    • Bera, A.K.1    Premaratne, G.2
  • 9
    • 21344482777 scopus 로고
    • Specification Testing with Misspecified Local Alternatives
    • Bera, A. K., and M. J.Yoon, "Specification Testing with Misspecified Local Alternatives," Econometric Theory 9 (1993), 649-658.
    • (1993) Econometric Theory , vol.9 , pp. 649-658
    • Bera, A.K.1    Yoon, M.J.2
  • 10
    • 3843149998 scopus 로고    scopus 로고
    • The Efficiency of the Estimator of the Parameters in GARCH Processes
    • Berkes, I., and L. Horváth, "The Efficiency of the Estimator of the Parameters in GARCH Processes," Annals of Statistics 32 (2004), 633-655.
    • (2004) Annals of Statistics , vol.32 , pp. 633-655
    • Berkes, I.1    Horváth, L.2
  • 12
    • 38249041534 scopus 로고
    • Similarity of Information and Behavior with a Pointwise Convergence Topology
    • Cotter, K. D., "Similarity of Information and Behavior with a Pointwise Convergence Topology," Journal of Mathematical Economics 15 (1986), 25-38.
    • (1986) Journal of Mathematical Economics , vol.15 , pp. 25-38
    • Cotter, K.D.1
  • 13
    • 0000446476 scopus 로고    scopus 로고
    • Efficient Estimation in Semiparametric GARCH Models
    • Drost, F. C., and C. A. J. Klaassen, "Efficient Estimation in Semiparametric GARCH Models," Journal of Econometrics 81 (1997), 193-221.
    • (1997) Journal of Econometrics , vol.81 , pp. 193-221
    • Drost, F.C.1    Klaassen, C.A.J.2
  • 15
    • 33747335599 scopus 로고
    • Time Series Analysis via Rank-Order Theory: Signed-Rank Tests for ARMA models
    • Hallin, M., and M. L. Puri, "Time Series Analysis via Rank-Order Theory: Signed-Rank Tests for ARMA models," Journal of Multivariate Analysis 39 (1991), 175-237.
    • (1991) Journal of Multivariate Analysis , vol.39 , pp. 175-237
    • Hallin, M.1    Puri, M.L.2
  • 16
    • 84974073344 scopus 로고
    • Some Aspects of Asymptotic Theory with Applications to Time Series Models
    • Jeganathan, P., "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory 11 (1995), 818-887.
    • (1995) Econometric Theory , vol.11 , pp. 818-887
    • Jeganathan, P.1
  • 18
    • 21344478234 scopus 로고
    • Adaptive Estimation in ARCH Models
    • Linton, O., "Adaptive Estimation in ARCH Models," Econometric Theory 9 (1993), 539-569.
    • (1993) Econometric Theory , vol.9 , pp. 539-569
    • Linton, O.1
  • 19
    • 0030364024 scopus 로고    scopus 로고
    • Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
    • Lumsdaine, R., "Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica 64 (1996), 575-596.
    • (1996) Econometrica , vol.64 , pp. 575-596
    • Lumsdaine, R.1
  • 20
    • 0001909961 scopus 로고    scopus 로고
    • Robust Out-of-Sample Inference
    • McCracken, M.W., "Robust Out-of-Sample Inference," Journal of Econometrics 98 (2000), 195-223.
    • (2000) Journal of Econometrics , vol.98 , pp. 195-223
    • McCracken, M.W.1
  • 22
    • 0035995708 scopus 로고    scopus 로고
    • Estimation and Inference in Two-Step Econometric Models
    • Murphy, K., "Estimation and Inference in Two-Step Econometric Models," Journal of Business and Economic Statistics 20 (2002), 88-97.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 88-97
    • Murphy, K.1
  • 23
    • 84972091517 scopus 로고
    • Stationarity and Persistence in the GARCH(1,1) Model
    • Nelson, D., "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory 6 (1990), 318-334.
    • (1990) Econometric Theory , vol.6 , pp. 318-334
    • Nelson, D.1
  • 24
    • 70350096085 scopus 로고
    • Large Sample Estimation and Hypothesis Testing
    • R. Engle and D. McFadden (Eds.), (Amsterdam: Elsevier)
    • Newey, W., and D. McFadden, "Large Sample Estimation and Hypothesis Testing," in R. Engle and D. McFadden (Eds.), Handbook of Econometrics (Amsterdam: Elsevier, 1994).
    • (1994) Handbook of Econometrics
    • Newey, W.1    McFadden, D.2
  • 25
    • 84963043455 scopus 로고
    • Two Stage and Related Estimators and Their Applications
    • Pagan, A., "Two Stage and Related Estimators and Their Applications," Review of Economic Studies 53 (1986), 517-538.
    • (1986) Review of Economic Studies , vol.53 , pp. 517-538
    • Pagan, A.1
  • 26
    • 84986398311 scopus 로고
    • Diagnostic Tests for Models Based on Individual Data: A Survey
    • Pagan, A., and F. Vella, "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics 4 (1989), S29- S59.
    • (1989) Journal of Applied Econometrics , vol.4
    • Pagan, A.1    Vella, F.2
  • 27
    • 0001409980 scopus 로고
    • The Asymptotic Effect of Substituting Estimators for Parameters in Certain Types of Statistics
    • Pierce, D. A., "The Asymptotic Effect of Substituting Estimators for Parameters in Certain Types of Statistics," Annals of Statistics 10 (1982), 475-478.
    • (1982) Annals of Statistics , vol.10 , pp. 475-478
    • Pierce, D.A.1
  • 28
    • 0346724427 scopus 로고    scopus 로고
    • A Complete Class of Tests When the Likelihood Is Locally Asymptotically Quadratic
    • Ploberger,W., "A Complete Class of Tests When the Likelihood Is Locally Asymptotically Quadratic," Journal of Econometrics 118 (2004), 67-94.
    • (2004) Journal of Econometrics , vol.118 , pp. 67-94
    • Ploberger, W.1
  • 29
    • 84972514302 scopus 로고
    • Asymptotics via Empirical Processes
    • Pollard, D., "Asymptotics via Empirical Processes," Statistical Science 4 (1989), 341-366.
    • (1989) Statistical Science , vol.4 , pp. 341-366
    • Pollard, D.1
  • 30
    • 34250634870 scopus 로고    scopus 로고
    • Yale University unpublised manuscript
    • Pollard, D., "Asymptopia," Yale University unpublised manuscript (2004).
    • (2004) Asymptopia
    • Pollard, D.1
  • 31
    • 0000502376 scopus 로고
    • On the Asymptotic Normality of Statistics with Estimated Parameters
    • Randles, R. H., "On the Asymptotic Normality of Statistics with Estimated Parameters," Annals of Statistics 10 (1982), 462-474.
    • (1982) Annals of Statistics , vol.10 , pp. 462-474
    • Randles, R.H.1
  • 33
    • 33745871154 scopus 로고    scopus 로고
    • Semiparametric Efficient Adaptive Estimation of Asymmetric GARCH Models
    • Sun, Y., and T. Stengos, "Semiparametric Efficient Adaptive Estimation of Asymmetric GARCH Models," Journal of Econometrics 133 (2006), 373-386.
    • (2006) Journal of Econometrics , vol.133 , pp. 373-386
    • Sun, Y.1    Stengos, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.