scientific article; zbMATH DE number 4090638

MaRDI QIDQ3817481zbMATH OpenFDO

Authors Ritva Luukkonen, Pentti Saikkonen, Timo Teräsvirta

Publication date 1988

zbMATH Keywords

model selectionMonte Carlopower propertiesasymptotic relative efficiencyARCHLagrange multiplier teststhreshold autoregressive modelbilinear modelexponential autoregressive modelnonlinear alternativestesting linearity of univariate time series models

Mathematics Subject Classification ID

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

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