Residual empirical processes and qualitatively robust GM-tests in autoregression

DOI10.3103/S0027132214010057MaRDI QIDQ263317zbMATH OpenOpenAlexFDO

Authors D. M. Esaulov, M. V. Boldin

Publication date 4 April 2016

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0027132214010057

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sensitivity (robustness) (93B35)

Recommendations

• Residual empirical processes and their application to GM-testing for the autoregression order
• A note on the residual empirical process in autoregressive models
• Robustness of GM-tests in autoregression against outliers
• The empirical process of autoregressive residuals
• A residual-based test for autocorrelation in quantile regression models
• A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models
• Residuals-based tests for cointegration with generalized least-squares detrended data
• Separated hypotheses testing for autoregressive models with non-negative residuals

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• Influence functionals for time series (with discussion)
• Local robustness of sign tests in AR(1) against outliers
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• On median estimates and tests in autoregressive models
• Qualitative robustness of rank tests
• Robustness of GM-tests in autoregression against outliers

Cited in

(7)

• Entropy test and residual empirical process for autoregressive conditional duration models
• Local robustness of sign tests in AR(1) against outliers
• A residual-based test for autocorrelation in quantile regression models
• Residual empirical processes and their application to GM-testing for the autoregression order
• Robustness of sign tests in autoregression
• Robustness of GM-tests in autoregression against outliers
• Testing for the Equality of Two Autoregressive Functions Using Quasi-Residuals

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