SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
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Publication:3580631
DOI10.1017/S0266466609990430zbMath1294.62200MaRDI QIDQ3580631
Lajos Horváth, Jean-Michel Zakoian, Christian Francq
Publication date: 13 August 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609990430
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G70: Extreme value theory; extremal stochastic processes
62J02: General nonlinear regression
60F17: Functional limit theorems; invariance principles
62M07: Non-Markovian processes: hypothesis testing
Related Items
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Estimation and testing linearity for non-linear mixed Poisson autoregressions, Goodness-of-fit tests for Log-GARCH and EGARCH models, Tests for Linearity in Star Models: Supwald and Lm-Type Tests, Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity, Testing for parameter stability in nonlinear autoregressive models, Adjusted Supremum Score-Type Statistics for Evaluating Non-Standard Hypotheses
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