A note on diagnostic checking of the double autoregressive model

DOI10.1080/00949650801903309MaRDI QIDQ3638581zbMATH OpenOpenAlexFDO

Authors Simon Sai Man Kwok, Wai Keung Li

Publication date 27 October 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650801903309

zbMATH Keywords

diagnostic checkingdouble autoregressive model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• scientific article; zbMATH DE number 1423406
• scientific article; zbMATH DE number 1222312
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimation and Testing Stationarity for Double-Autoregressive Models

Cites work

• Estimation and Testing Stationarity for Double-Autoregressive Models
• scientific article; zbMATH DE number 2109191 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

Cited in

(5)

• On a vector double autoregressive model
• Linear double autoregression
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Factor double autoregressive models with application to simultaneous causality testing
• Estimation and Testing Stationarity for Double-Autoregressive Models

This page was built for publication: A note on diagnostic checking of the double autoregressive model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3638581)