AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM (Q4562558): Difference between revisions

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scientific article; zbMATH DE number 6996527

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English	AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM	scientific article; zbMATH DE number 6996527

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instance of

scholarly article

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title

AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM (English)

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21 December 2018

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MaRDI profile type

MaRDI publication profile

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cites work

Consistent model specification tests

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An Introduction to Polyspectra

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ASYMPTOTIC THEORY OF ESTIMATES OF kTH-ORDER SPECTRA

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Q5540026

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Power Transformations to Induce Normality and their Applications

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Q4794153

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Q4015733

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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

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Q4397010

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Autoregressive Conditional Density Estimation

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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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Sample Splitting and Threshold Estimation

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Specification Tests in Econometrics

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Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach

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DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS

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Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form

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Bootstrap Methods for Markov Processes

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Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

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THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

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Q3323077

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Q4692920

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CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE

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An introduction to bispectral analysis and bilinear time series models

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Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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Q3999154

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Q4029493

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Q4869532

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An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses

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On the application of robust, regression-based diagnostics to models of conditional means and conditional variances

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full work available at URL

https://doi.org/10.1017/s0266466607070053

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Identifiers

zbMATH Open document ID

1441.62738

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DOI

10.1017/S0266466607070053

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4562558

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-Yoon-Jin Lee
@@ Property / author: Yoon-Jin Lee / rank @@
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+Consistent model specification tests
@@ Property / cites work: Consistent model specification tests / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Polyspectra
@@ Property / cites work: An Introduction to Polyspectra / rank @@
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@@ Property / cites work @@
+ASYMPTOTIC THEORY OF ESTIMATES OF kTH-ORDER SPECTRA
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@@ Property / cites work @@
+Q5540026
@@ Property / cites work: Q5540026 / rank @@
+Normal rank
@@ Property / cites work @@
+Power Transformations to Induce Normality and their Applications
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Q4015733
@@ Property / cites work: Q4015733 / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
+Normal rank
@@ Property / cites work @@
+Q4397010
@@ Property / cites work: Q4397010 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
+Normal rank
@@ Property / cites work @@
+Sample Splitting and Threshold Estimation
@@ Property / cites work: Sample Splitting and Threshold Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Specification Tests in Econometrics
@@ Property / cites work: Specification Tests in Econometrics / rank @@
+Normal rank
@@ Property / cites work @@
+Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
+Normal rank
@@ Property / cites work @@
+Bootstrap Methods for Markov Processes
@@ Property / cites work: Bootstrap Methods for Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
+Normal rank
@@ Property / cites work @@
+THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4692920
@@ Property / cites work: Q4692920 / rank @@
+Normal rank
@@ Property / cites work @@
+CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS  PRESENT ONLY UNDER THE ALTERNATIVE
+Normal rank
@@ Property / cites work @@
+An introduction to bispectral analysis and bilinear time series models
+Normal rank
@@ Property / cites work @@
+Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4029493
@@ Property / cites work: Q4029493 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4869532
@@ Property / cites work: Q4869532 / rank @@
+Normal rank
@@ Property / cites work @@
+An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
+Normal rank
@@ Property / cites work @@
+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
+Normal rank
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+https://doi.org/10.1017/s0266466607070053
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