Model checks of higher order time series

DOI10.1016/J.SPL.2006.02.009MaRDI QIDQ2497798zbMATH OpenOpenAlexFDO

Authors Winfried Stute, M. Presedo Quindimil, Wenceslao González-Manteiga, Hira L. Koul

Publication date 4 August 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.02.009

zbMATH Keywords

dimension reducing modelinvariance principle for marked empirical processes

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A Test of Linearity for Functional Autoregressive Models
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap Approximations in Model Checks for Regression
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• Identification of nonlinear time series from first order cumulative characteristics
• Model Checks for Generalized Linear Models
• Model-checking techniques based on cumulative residuals
• Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
• Nonparametric model checks for time series
• Nonparametric tests of linearity for time series
• ON THE KOLMOGOROV-SMIRNOV TYPE TEST FOR TESTING NONLINEARITY IN TIME SERIES
• Testing the Martingale Difference Hypothesis

Cited in

(11)

• Empirical likelihood based testing for regression
• Testing nonstationary and absolutely regular nonlinear time series models
• An updated review of goodness-of-fit tests for regression models
• Rejoinder on: ``An updated review of goodness-of-fit tests for regression models
• Higher-Order Crossings in Time Series Model Identification
• A Review on Dimension-Reduction Based Tests For Regressions
• Model checking for parametric single-index quantile autoregression
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
• Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
• A comparative review of specification tests for diffusion models

Describes a project that uses

Uses Software

• Fahrmeir

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