Matches in SemOpenAlex for { <https://semopenalex.org/work/W3150586963> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W3150586963 abstract "In time series analysis, tests for serial independence, symmetry, and goodness-of-fit based on divergence measures, such as the Kullback-Leibler divergence or Hellinger distance are currently receiving much interest (see Granger, Maasoumi, Racine (2004) as a recent example). We consider replacing the divergence measures in these tests by kernel-based positive definite bilinear forms. In this way we avoid the common practice of using plug-in estimators. Our approach separates the problem of consistent estimation of the divergence measure from that of estimating the underlying joint densities consistently. We construct a test for serial independence on the basis of the introduced bilinear forms. Optimal bandwidth selection is a common problem in the nonparametric econometrics. To confront this problem we use an adaptive bandwidth procedure over a range of different bandwidth values. In order to produce an exact test, a permutation procedure is favoured over the use of asymptotic theory. Our results are illustrated with simulations for various data generating processes relevant to financial econometrics. We compare the performance of our test with existing nonparametric tests for serial independence. For certain class of processes our approach produces higher power in comparison with BDS test and the test of Granger, Maasoumi and Racine" @default.
- W3150586963 created "2021-04-13" @default.
- W3150586963 creator A5080666447 @default.
- W3150586963 date "2005-11-11" @default.
- W3150586963 modified "2023-09-27" @default.
- W3150586963 title "Test for serial independence based on quadratic forms" @default.
- W3150586963 hasPublicationYear "2005" @default.
- W3150586963 type Work @default.
- W3150586963 sameAs 3150586963 @default.
- W3150586963 citedByCount "0" @default.
- W3150586963 crossrefType "posted-content" @default.
- W3150586963 hasAuthorship W3150586963A5080666447 @default.
- W3150586963 hasConcept C102366305 @default.
- W3150586963 hasConcept C105795698 @default.
- W3150586963 hasConcept C126255220 @default.
- W3150586963 hasConcept C138885662 @default.
- W3150586963 hasConcept C149782125 @default.
- W3150586963 hasConcept C153024298 @default.
- W3150586963 hasConcept C169857963 @default.
- W3150586963 hasConcept C185429906 @default.
- W3150586963 hasConcept C207390915 @default.
- W3150586963 hasConcept C2776257435 @default.
- W3150586963 hasConcept C28826006 @default.
- W3150586963 hasConcept C31258907 @default.
- W3150586963 hasConcept C33923547 @default.
- W3150586963 hasConcept C35651441 @default.
- W3150586963 hasConcept C41008148 @default.
- W3150586963 hasConcept C41895202 @default.
- W3150586963 hasConcept C87007009 @default.
- W3150586963 hasConceptScore W3150586963C102366305 @default.
- W3150586963 hasConceptScore W3150586963C105795698 @default.
- W3150586963 hasConceptScore W3150586963C126255220 @default.
- W3150586963 hasConceptScore W3150586963C138885662 @default.
- W3150586963 hasConceptScore W3150586963C149782125 @default.
- W3150586963 hasConceptScore W3150586963C153024298 @default.
- W3150586963 hasConceptScore W3150586963C169857963 @default.
- W3150586963 hasConceptScore W3150586963C185429906 @default.
- W3150586963 hasConceptScore W3150586963C207390915 @default.
- W3150586963 hasConceptScore W3150586963C2776257435 @default.
- W3150586963 hasConceptScore W3150586963C28826006 @default.
- W3150586963 hasConceptScore W3150586963C31258907 @default.
- W3150586963 hasConceptScore W3150586963C33923547 @default.
- W3150586963 hasConceptScore W3150586963C35651441 @default.
- W3150586963 hasConceptScore W3150586963C41008148 @default.
- W3150586963 hasConceptScore W3150586963C41895202 @default.
- W3150586963 hasConceptScore W3150586963C87007009 @default.
- W3150586963 hasLocation W31505869631 @default.
- W3150586963 hasOpenAccess W3150586963 @default.
- W3150586963 hasPrimaryLocation W31505869631 @default.
- W3150586963 hasRelatedWork W1479829363 @default.
- W3150586963 hasRelatedWork W1585797594 @default.
- W3150586963 hasRelatedWork W1911468658 @default.
- W3150586963 hasRelatedWork W1968793564 @default.
- W3150586963 hasRelatedWork W2002501103 @default.
- W3150586963 hasRelatedWork W2014449231 @default.
- W3150586963 hasRelatedWork W2155808343 @default.
- W3150586963 hasRelatedWork W2606792327 @default.
- W3150586963 hasRelatedWork W2852089015 @default.
- W3150586963 hasRelatedWork W2909885242 @default.
- W3150586963 hasRelatedWork W2948824061 @default.
- W3150586963 hasRelatedWork W2949432767 @default.
- W3150586963 hasRelatedWork W2954291982 @default.
- W3150586963 hasRelatedWork W3086823519 @default.
- W3150586963 hasRelatedWork W3121731789 @default.
- W3150586963 hasRelatedWork W3122176158 @default.
- W3150586963 hasRelatedWork W3143358479 @default.
- W3150586963 hasRelatedWork W3157484298 @default.
- W3150586963 hasRelatedWork W55965386 @default.
- W3150586963 hasRelatedWork W657606678 @default.
- W3150586963 isParatext "false" @default.
- W3150586963 isRetracted "false" @default.
- W3150586963 magId "3150586963" @default.
- W3150586963 workType "article" @default.