A note on non-parametric testing for Gaussian innovations in AR-ARCH models

DOI10.1111/JTSA.12018zbMATH Open1273.62218arXiv1211.1204OpenAlexW2132324993MaRDI QIDQ2852597FDOQ2852597

Authors: Natalie Neumeyer, Leonie Selk 

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: In this paper we consider autoregressive models with conditional autoregressive variance, including the case of homoscedastic AR-models and the case of ARCH models. Our aim is to test the hypothesis of normality for the innovations in a completely nonparametric way, i. e. without imposing parametric assumptions on the conditional mean and volatility functions. To this end the Cram'er-von Mises test based on the empirical distribution function of nonparametrically estimated residuals is shown to be asymptotically distribution-free. We demonstrate its good performance for finite sample sizes in a simulation study.

Full work available at URL: https://arxiv.org/abs/1211.1204

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zbMATH Keywords

kernel estimationempirical distribution functionautoregressionconditional heteroscedasticitynonparametric conditional heteroscedastic autoregressive nonlinear model

Mathematics Subject Classification ID

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

Cites Work

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Cited In (7)

• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Estimating the error distribution in a single-index model
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Specification testing in nonparametric AR‐ARCH models
• A model specification test for the variance function in nonparametric regression

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