DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS

DOI10.1017/S0266466603196089zbMath1441.62737OpenAlexW2104794525MaRDI QIDQ4562549

Tae-Hwy Lee, Yongmiao Hong

Publication date: 21 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603196089

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Testing for serial independence of panel errors, Evaluating multiplicative error models: a residual-based approach, Joint and marginal specification tests for conditional mean and variance models, Testing conditional asymmetry: a residual-based approach, Evaluating financial time series models for irregularly spaced data: a spectral density approach, AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM, Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, A misspecification test for multiplicative error models of non-negative time series processes, Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models, ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH, Extremal Dependence-Based Specification Testing of Time Series, Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models, Fitting a two phase threshold multiplicative error model, Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications, Model assessment for time series dynamics using copula spectral densities: a graphical tool, Portmanteau tests for linearity of stationary time series, A specification test for dynamic conditional distribution models with function-valued parameters, A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• Measuring the strangeness of strange attractors
• Testing that a stationary time series is Gaussian
• Testing that a Gaussian process is stationary
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A single-blind controlled competition among tests for nonlinearity and chaos
• A simple nonlinear time series model with misleading linear properties
• Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
• A consistent nonparametric test for serial independence
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• Moving average conditional heteroskedastic processes
• Evaluating GARCH models.
• Autocorrelations of a certain chaos
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• An efficiency result for the empirical characteristic function in stationary time-series models
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• A Class of Nonlinear Arch Models
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• On a measure of lack of fit in time series models
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A nonparametric test of serial independence based on the empirical distribution function
• Multivariate Stochastic Variance Models
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Measures of Dependence and Tests of Independence
• Testing for conditional heteroscedasticity: some monte carlo results
• A test for independence based on the correlation dimension
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• The effect of aggregation on nonlinearity
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Consistent Testing for Serial Correlation of Unknown Form
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Martingale Central Limit Theorems
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Consistent Nonparametric Entropy-Based Testing
• Estimation of affine asset pricing models using the empirical characteristic function