A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models

DOI10.2307/3316013zbMath0994.62040MaRDI QIDQ4546739

Gemai Chen, Min Chen

Publication date: 8 October 2002

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3316013

zbMATH Keywords

tables; threshold autoregressive model; conditional heteroscedasticity

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

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