SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
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Publication:5199498
DOI10.1017/S0266466610000502zbMath1219.62076MaRDI QIDQ5199498
Publication date: 16 August 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000502
62G08: Nonparametric regression and quantile regression
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G09: Nonparametric statistical resampling methods
Related Items
A joint test for parametric specification and independence in nonlinear regression models, Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations, Bootstrap specification tests for dynamic conditional distribution models, Asymptotically distribution-free tests for the volatility function of a diffusion
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