A Portmanteau Test for Smooth Transition Autoregressive Models

DOI10.1111/JTSA.12512MaRDI QIDQ5135319zbMATH OpenOpenAlexWikidataFDO

Authors Qiang Xia, Wai Keung Li, 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

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

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Cites work

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• scientific article; zbMATH DE number 4090638 (Why is no real title available?)
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• On a measure of lack of fit in time series models
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• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing linearity against smooth transition autoregressive models
• Testing model adequacy for some Markov regression models for time series
• Testing the adequacy of smooth transition autoregressive models

Cited in

(4)

• Testing the adequacy of smooth transition autoregressive models
• Discriminating between competing STAR models
• Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions
• Diagnostic Checking in a Flexible Nonlinear Time Series Model

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