Diagnostic checking of Markov multiplicative error models

DOI10.1016/J.ECONLET.2018.06.010MaRDI QIDQ1787720zbMATH OpenOpenAlexWikidataFDO

Authors Bin Guo, Shuo Li

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.06.010

zbMATH Keywords

time seriesspecification testmultiplicative error model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Diagnostic checking of the vector multiplicative error model
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• Diagnostic checking for multivariate regression models
• Model checks using residual marked empirical processes
• Publication:4936193
• Diagnostic checking for conditional heteroscedasticity models
• Diagnostics for empirical Bayes models
• Diagnostic checking of multiple imputation models
• Diagnostic measures for linear mixed measurement error models

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• A misspecification test for multiplicative error models of non-negative time series processes
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Handbook of Volatility Models and Their Applications
• Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
• Nonparametric specification tests for conditional duration models

Cited in

(10)

• Evaluating multiplicative error models: a residual-based approach
• Diagnostic checking in linear processes with infinite variance
• Specification tests for multiplicative error models
• Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
• Diagnostic checking of the vector multiplicative error model
• A minimum distance lack-of-fit test in a Markovian multiplicative error model
• Bootstrap based probability forecasting in multiplicative error models
• Specification test for Markov models with measurement errors
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
• A class of minimum distance estimators in Markovian multiplicative error models

This page was built for publication: Diagnostic checking of Markov multiplicative error models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1787720)