Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models

DOI10.1016/J.JSPI.2017.02.004zbMATH Open1376.62050OpenAlexW2589587912MaRDI QIDQ2409623FDOQ2409623

Seon Jin Kim, Adriano Z. Zambom

Publication date: 13 October 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.02.004

Recommendations

• Nonparametric lag selection for time series models
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zbMATH Keywords

ANOVAnonlinear modelconditional heteroscedastic modelnonparametric lag selectionnonparametric model specification

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

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Cited In (4)

• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
• Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
• Selection of the number of clusters in functional data analysis
• Nonparametric lag selection for time series models

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