Checking nonlinear heteroscedastic time series models

DOI10.1016/J.JSPI.2004.03.013MaRDI QIDQ556432zbMATH OpenOpenAlexFDO

Authors Joseph Ngatchou-Wandji

Publication date 13 June 2005

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2004.03.013

zbMATH Keywords

LANContiguityGoodness of fitHeteroscedastic modelsLocal alternativesTime series

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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Cites work

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Cited in

(19)

• A locally asymptotically powerful test for nonlinear autoregressive models
• Nonparametric model checks for time series
• Estimation in a class of nonlinear heteroscedastic time series models
• Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
• A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models
• Joint and marginal specification tests for conditional mean and variance models
• scientific article; zbMATH DE number 1852182 (Why is no real title available?)
• The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular
• An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models
• Conditional variance model checking
• Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models
• A test for comparing two discrete stochastic dynamical systems under heteroskedasticity
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
• The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
• Model checks of higher order time series
• A simple additivity test for conditionally heteroscedastic nonlinear autoregression
• A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
• Testing for nonlinearity in mean and volatility for heteroskedastic models
• A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations

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