Distribution-free tests for time series models specification

DOI10.1016/j.jeconom.2009.09.022zbMath1431.62363OpenAlexW1996508528MaRDI QIDQ2630201

Miguel A. Delgado, Carlos Velasco

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/9070

zbMATH Keywords

specification testsoptimal teststime series modelsdynamic regression modelresiduals autocorrelation function

Mathematics Subject Classification ID

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

Related Items (2)

An updated review of goodness-of-fit tests for regression models ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors

Cites Work

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