SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL

DOI10.1017/S0266466609990430zbMath1294.62200OpenAlexW2172097605MaRDI 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) General nonlinear regression (62J02) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Testing for parameter stability in nonlinear autoregressive models ⋮ Adjusted Supremum Score-Type Statistics for Evaluating Non-Standard Hypotheses ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ Testing Linearity for Network Autoregressive Models ⋮ Tests for Linearity in Star Models: Supwald and Lm-Type Tests ⋮ Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

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