A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations

DOI10.1016/J.STAMET.2010.10.001zbMath1213.62141OpenAlexW2049821115MaRDI QIDQ537479

Naâmane Laïb, Fateh Chebana

Publication date: 20 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2010.10.001

zbMATH Keywords

nonlinear processesergodic processesLANlocal powerARCH processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors

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