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Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests

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  • Marc Hallin
  • Bas Werker

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  • Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2221, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2221
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    Cited by:

    1. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
    2. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    3. Marc Hallin & Bas Werker, 2003. "Semiparametric efficiency, distribution-freeness, and invariance," ULB Institutional Repository 2013/2119, ULB -- Universite Libre de Bruxelles.
    4. Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003. "Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality," Other publications TiSEM 620d09ba-f476-426d-b236-3, Tilburg University, School of Economics and Management.
    5. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
    6. André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.
    7. Marc Hallin & Abdeslam Serroukh, 1998. "Adaptive Estimation of the Lag of a Long–memory Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 111-129, May.
    8. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
    9. André Klein & Guy Melard, 2004. "An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models," ULB Institutional Repository 2013/13746, ULB -- Universite Libre de Bruxelles.
    10. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
    11. J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
    12. Husková, M., 2003. "Serial rank statistics for detection of changes," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 199-213, January.
    13. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.

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