A note on non-parametric testing for Gaussian innovations in AR-ARCH models
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Publication:2852597
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.
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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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