SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS

DOI10.1017/S026646661500047XzbMath1441.62836MaRDI QIDQ2986524

Indeewara Perera, Mervyn J. Silvapullé

Publication date: 16 May 2017

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Evaluating multiplicative error models: a residual-based approach ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Bootstrap inference for Hawkes and general point processes ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Fitting a two phase threshold multiplicative error model

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