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

DOI10.1016/J.JSPI.2017.02.004MaRDI QIDQ2409623zbMATH OpenOpenAlexFDO

Authors Adriano Z. Zambom, Seon Jin Kim

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

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

(6)

• 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 nonlinear additive autoregressive models
• Lag selection in stochastic additive models
• Nonparametric lag selection for time series models
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags

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