Approximate power of heteroscedasticity test in nonlinear models with ARIMA(0,1,0) errors

DOI10.1007/S11766-005-0020-XMaRDI QIDQ2501423zbMATH OpenOpenAlexFDO

Authors Jinguan Lin, Nansong Zhang, Bocheng Wei

Publication date 11 September 2006

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-005-0020-x

zbMATH Keywords

score testasymptotic approximationnonlinear modellocal power

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Recommendations

• Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models
• Testing for Heteroscedasticity in Nonlinear Regression Models
• A study of several new and existing tests for heteroscedasticity in the general linear model
• Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors
• Testing for heteroscedasticity and autocorrelation in nonlinear models with AR(\(p\)) errors

Cites work

• scientific article; zbMATH DE number 3913478 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• Diagnostics for heteroscedasticity in regression
• Modeling Nonstationary Longitudinal Data
• Power/Sample Size Calculations for Generalized Linear Models
• Sample Size for Individually Matched Case-Control Studies
• Testing for Heteroscedasticity in Nonlinear Regression Models

Cited in

(1)

• Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models

This page was built for publication: Approximate power of heteroscedasticity test in nonlinear models with ARIMA(0,1,0) errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2501423)