Model checks of higher order time series

DOI10.1016/J.SPL.2006.02.009zbMath1094.62117OpenAlexW2030812019MaRDI QIDQ2497798

M. Presedo Quindimil, Wenceslao González Manteiga, Winfried Stute, Hira L. Koul

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.02.009

zbMATH Keywords

dimension reducing modelinvariance principle for marked empirical processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Related Items (8)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Rejoinder on: ``An updated review of goodness-of-fit tests for regression models ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ A Review on Dimension-Reduction Based Tests For Regressions ⋮ Empirical likelihood based testing for regression ⋮ Testing nonstationary and absolutely regular nonlinear time series models ⋮ Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Uses Software

• Fahrmeir

Cites Work

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• Testing the Martingale Difference Hypothesis
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• ON THE KOLMOGOROV-SMIRNOV TYPE TEST FOR TESTING NONLINEARITY IN TIME SERIES
• Nonparametric tests of linearity for time series

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