HYPOTHESIS-TESTING WITH RESTRICTED SPECTRAL DENSITY-MATRICES, WITH AN APPLICATION TO UNCOVERED INTEREST PARITY

被引：5

作者：

ITO, T ^{[1
]}

QUAH, D ^{[1
]}

机构：

[1] MIT, CAMBRIDGE, MA 02139 USA

来源：

INTERNATIONAL ECONOMIC REVIEW | 1989年 / 30卷 / 01期

关键词：

D O I：

10.2307/2526558

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：203 / 215

页数：13

共 48 条

[41] Restricted Distance-Type Gaussian Estimators Based on Density Power Divergence and Their Applications in Hypothesis Testing
Felipe, Angel
Jaenada, Maria
Miranda, Pedro
Pardo, Leandro
MATHEMATICS, 2023, 11 (06)
[42] Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation
Phillips, Peter C. B.
Sun, Yixiao
Jin, Sainan
INTERNATIONAL ECONOMIC REVIEW, 2006, 47 (03) : 837 - 894
[43] Hypothesis testing in time series via the empirical characteristic function: A generalized spectral density approach
Hong, YM
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1999, 94 (448) : 1201 - 1220
[44] SUBSTITUTION PRINCIPLE FOR CLT OF LINEAR SPECTRAL STATISTICS OF HIGH-DIMENSIONAL SAMPLE COVARIANCE MATRICES WITH APPLICATIONS TO HYPOTHESIS TESTING
Zheng, Shurong
Bai, Zhidong
Yao, Jianfeng
ANNALS OF STATISTICS, 2015, 43 (02): : 546 - 591
[45] Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices
Steland, Ansgar
JOURNAL OF MULTIVARIATE ANALYSIS, 2024, 199
[46] Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
Bierens, HJ
JOURNAL OF ECONOMETRICS, 1997, 81 (01) : 29 - 64
[47] Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
Holbrook, Andrew
Lan, Shiwei
Vandenberg-Rodes, Alexander
Shahbaba, Babak
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2018, 88 (05) : 982 - 1002
[48] NONPARAMETRIC ESTIMATION OF THE DENSITY OF THE ALTERNATIVE HYPOTHESIS IN A MULTIPLE TESTING SETUP. APPLICATION TO LOCAL FALSE DISCOVERY RATE ESTIMATION
Van Hanh Nguyen
Matias, Catherine
ESAIM-PROBABILITY AND STATISTICS, 2014, 18 : 584 - 612

← 1 2 3 4 5 →