LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS

DOI10.1017/S0266466612000102zbMath1281.62173OpenAlexW2155499013MaRDI QIDQ5397672

Hira L. Koul, Indeewara Perera, Mervyn J. Silvapullé

Publication date: 24 February 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466612000102

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02)

Related Items (14)

Evaluating multiplicative error models: a residual-based approach ⋮ Diagnostic checking of the vector multiplicative error model ⋮ On estimating the nonparametric multiplicative error models ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ A minimum distance lack-of-fit test in a Markovian multiplicative error model ⋮ Fitting a two phase threshold multiplicative error model ⋮ Diagnostic checking of Markov multiplicative error models ⋮ Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model ⋮ A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

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