Parametric specification test for nonlinear autoregressive models

DOI10.1017/S0266466614000681MaRDI QIDQ3453250zbMATH OpenOpenAlexFDO

Authors

Publication date 20 November 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000681

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Specification testing in nonlinear and nonstationary time series autoregression
• Specification testing in nonparametric AR‐ARCH models
• Bootstrap tests for parametric volatility structure in nonparametric autoregression
• A nonparametric goodness-of-fit test for a class of parametric autoregressive models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models

Cited in

(8)

• Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
• Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• Specification testing in nonparametric AR‐ARCH models
• scientific article; zbMATH DE number 883616 (Why is no real title available?)
• scientific article; zbMATH DE number 6441661 (Why is no real title available?)
• A joint test for parametric specification and independence in nonlinear regression models
• Root-\(T\) consistent density estimation in GARCH models

This page was built for publication: Parametric specification test for nonlinear autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3453250)