Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models

DOI10.1016/J.JMVA.2015.02.009MaRDI QIDQ2348448zbMATH OpenOpenAlexFDO

Authors Hira L. Koul, Xiaoqing Zhu

Publication date 12 June 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2015.02.009

zbMATH Keywords

Khmaladze martingale transform testsingular incomplete information matrix

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(5)

• Implementation of a goodness-of-fit test through Khmaladze martingale transformation
• A copula approach for dependence modeling in multivariate nonparametric time series
• Fitting an error distribution in some heteroscedastic time series models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary \alpha-mixing error terms
• Consistent nonparametric test for structural change in time series models via Cusum and Fourier transform

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