Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Joel Sango"'
Autor:
Pierre Duchesne, Joel Sango
Publikováno v:
Journal of Statistical Theory and Practice. 13
Multivariate nonlinear time series models have experienced many developments for modeling data coming from financial applications. Several financial time series are realizations from nonnegative processes. An important class of models is composed of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7171c62b9c07af03efa37c1a8bcec1f
https://doi.org/10.1007/s42519-018-0036-1
https://doi.org/10.1007/s42519-018-0036-1
Publikováno v:
Communications in Statistics - Theory and Methods. 43:3812-3835
This paper extends the one-way heteroskedasticity score test of Holly and Gardiol (2000, In: Krishnakumar, J, Ronchetti, E (Eds.), Panel Data Econometrics: Future Directions, North-Holland, Amsterdam, pp. 199–211) to two conditional Lagrange Multip
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::807a98de9ed9ccd552b59db537688e7e
https://doi.org/10.1080/03610926.2012.687067
https://doi.org/10.1080/03610926.2012.687067
Publikováno v:
Communications in Statistics - Theory and Methods. 43:2734-2751
This article extends the work by Holly and Gardiol (2000) (A score test for individual heteroscedasticity in a one-way error component model. In: Krishnakumar, J., Ronchetti, E., Eds. Panel Data Econometrics: Future Directions. Elsevier, North-Hollan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2989dc6a1d7edc72a71215bcad7daa36
https://doi.org/10.1080/03610926.2012.675113
https://doi.org/10.1080/03610926.2012.675113
Autor:
Joel Sango, J. M. Bosson Brou, Afeez Adebare Salisu, Mbodja Mougoué, Claude M. O. Amba, Eugene Kouassi
Publikováno v:
Computational Statistics & Data Analysis. 70:153-171
An extension of the Holly and Gardiol (2000) and Baltagi et al. (2009) papers to the two way context, with heteroskedastic and spatially correlated disturbances is considered. One then derives a joint LM test for homoskedasticity and no spatial corre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9d791a72acd6bc0405734eeeca2bfd2f
https://doi.org/10.1016/j.csda.2013.09.003
https://doi.org/10.1016/j.csda.2013.09.003
Publikováno v:
Journal of Forecasting. 31:617-638
In this paper we extend the works of Baillie and Baltagi (1999, in Analysis of Panels and Limited Dependent Variables Models, Hsiao C et al. (eds). Cambridge University Press: Cambridge, UK; 255–267) and generalize certain results from the Baltagi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0470eaf7b770728c0e454cfa9da1ef2f
https://doi.org/10.1002/for.1233
https://doi.org/10.1002/for.1233
Publikováno v:
Journal of Forecasting. 30:541-564
In this paper we extend the Baillie and Baltagi (1999) paper (Prediction from the regression model with one-way error components. In Analysis of Panels and Limited Dependent Variables Models, Hsiao C, Lahiri K, Lee LF, Pesaran H (eds). Cambridge Univ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c133d71db83aa7b8ab42251932cb42d
https://doi.org/10.1002/for.1176
https://doi.org/10.1002/for.1176
