Fitting a pth order parametric generalized linear autoregressive multiplicative error model
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Cites work
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Cited in
(10)- Bootstrap based probability forecasting in multiplicative error models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- A misspecification test for multiplicative error models of non-negative time series processes
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- P. C. Mahalanobis in the context of current econometrics research
- Specification tests for multiplicative error models
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- Fitting a two phase threshold multiplicative error model
- Location multiplicative error models with quasi maximum likelihood estimation
- Lack-of-fit of a parametric measurement error AR(1) model
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