A Portmanteau Test for Smooth Transition Autoregressive Models

DOI10.1111/jtsa.12512zbMath1453.62524OpenAlexW2991634754MaRDI QIDQ5135319

Wai Keung Li, Qiang Xia, Zhi-Qiang Zhang

Publication date: 20 November 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12512

zbMATH Keywords

least-squares methodnonlinear time seriesportmanteau testSTAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the adequacy of smooth transition autoregressive models
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Testing linearity against smooth transition autoregressive models
• On a measure of lack of fit in time series models
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• An efficient method for finding the minimum of a function of several variables without calculating derivatives
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Testing model adequacy for some Markov regression models for time series

This page was built for publication: A Portmanteau Test for Smooth Transition Autoregressive Models