Fitting a pth order parametric generalized linear autoregressive multiplicative error model
DOI10.1007/S13571-019-00195-WzbMATH Open1437.62290OpenAlexW2921751356MaRDI QIDQ2297945FDOQ2297945
Authors: Yanyan Li 
Publication date: 20 February 2020
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-019-00195-w
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)
Cites Work
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Cited In (10)
- A misspecification test for multiplicative error models of non-negative time series processes
- Lack-of-fit of a parametric measurement error AR(1) model
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Specification tests for multiplicative error models
- Location multiplicative error models with quasi maximum likelihood estimation
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- Bootstrap based probability forecasting in multiplicative error models
- P. C. Mahalanobis in the context of current econometrics research
- Fitting a two phase threshold multiplicative error model
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