A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
DOI10.1111/J.1467-9892.1992.TB00104.XzbMATH Open0746.62089OpenAlexW2076449839MaRDI QIDQ4012948FDOQ4012948
Authors: Melvin J. Hinich, Douglas M. Patterson 
Publication date: 27 September 1992
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00104.x
Recommendations
- Testing the Martingale Difference Hypothesis
- Testing the martingale difference hypothesis using integrated regression functions
- A Test of the Martingale Hypothesis
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- Generalized spectral tests for the martingale difference hypothesis
time seriesmixing conditionmartingale differencelarge-sample resultsfinancial seriesdiagnostic checksdiscrete-time random processincrement processcumulant functionsfitted residuals for signs of model inadequacymartingale criterionmodified sample bispectrumtwo-dimensional portmanteau test of serial dependencewhite noise criterion
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
Cited In (5)
- Generalized spectral tests for the martingale difference hypothesis
- Falsifying ARCH/GARCH Models Using Bispectral Based Tests
- Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
- Testing for dependence in the input to a linear time series model
- Rank-based tests for autoregressive against bilinear serial dependence
This page was built for publication: A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4012948)
