A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models (Q4546739): Difference between revisions

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scientific article; zbMATH DE number 1785032

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English	A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models	scientific article; zbMATH DE number 1785032

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instance of

scholarly article

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title

A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models (English)

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zbMATH Open document ID

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Canadian Journal of Statistics

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publication date

8 October 2002

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Mathematics Subject Classification ID

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conditional heteroscedasticity

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threshold autoregressive model

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tables

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.2307/3316013

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OpenAlex ID

W2161877893

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cites work

A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series

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ARCH modeling in finance. A review of the theory and empirical evidence

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Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Q3911791

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An innovation approach to goodness-of-fit tests in \(R^ m\)

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Goodness of fit problem and scanning innovation martingales

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Nonparametric model checks for time series

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Q3817481

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Convergence of stochastic processes

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Q4084474

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Threshold models in non-linear time series analysis

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Q3999154

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Testing for threshold autoregression with conditional heteroscedasticity

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Sitelinks

Mathematics(1 entry)

mardi Publication:4546739

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.2307/3316013
@@ Property / full work available at URL: https://doi.org/10.2307/3316013 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2161877893
@@ Property / OpenAlex ID: W2161877893 / rank @@
+Normal rank
@@ Property / cites work @@
+A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+An innovation approach to goodness-of-fit tests in \(R^ m\)
+Normal rank
@@ Property / cites work @@
+Goodness of fit problem and scanning innovation martingales
+Normal rank
@@ Property / cites work @@
+Nonparametric model checks for time series
@@ Property / cites work: Nonparametric model checks for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Q3817481
@@ Property / cites work: Q3817481 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of stochastic processes
@@ Property / cites work: Convergence of stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4084474
@@ Property / cites work: Q4084474 / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for threshold autoregression with conditional heteroscedasticity
+Normal rank