scientific article; zbMATH DE number 4090638

MaRDI QIDQ3817481zbMATH OpenFDO

Authors Ritva Luukkonen, Pentti Saikkonen, Timo Teräsvirta

Publication date 1988

zbMATH Keywords

ARCHasymptotic relative efficiencybilinear modelexponential autoregressive modelLagrange multiplier testsmodel selectionMonte Carlononlinear alternativespower propertiestesting linearity of univariate time series modelsthreshold autoregressive model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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