scientific article; zbMATH DE number 1894913

MaRDI QIDQ4801934zbMATH OpenFDO

Authors Min Chen, Gemai Chen

Publication date 2002

zbMATH Keywords

threshold autoregressive modelconditional heteroscedasticityempirical percentageKolmogorov-Smirnor type test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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• Testing for threshold moving average with conditional heteroscedasticity
• Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold
• A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models

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