Simple Robust Testing of Hypotheses in Nonlinear Models

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Measurement Error in Linear Autoregressive Models (2005, background): “Under general conditions, a Q̂ with T instead of M in the foregoing would converge to a random variable that is proportional to Q, not equal to Q in probability as T → ∞ (see, e.g., Bunzel, Kiefer, and Vogelsang 2001; Kiefer and Vogelsang 2002).”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “e a procedure for improving the power of the Mtest, by dividing the original sample into subsamples before applying the self-normalization procedure. 7The ﬁxed-basymptotic has been further studied by Bunzel et al. (2001), Kiefer and Vogelsang (2002, 2005), Sun et al. (2008), Kim and Sun (2011) and S”
A self‐normalized approach to confidence interval construction in time series (2010, unknown): “…choice of WN is somewhat arbitrary and is in part influenced by Lobato’s (2001) proposal, which is closely linked to the fixed b asymptotic scheme that was considered by Kiefer, Vogelsang and their co-workers (Kiefer et al., 2000; Kiefer and Vogelsang, 2002a,b, 2005; Bunzel et al., 2001).”