scientific article; zbMATH DE number 1423406

zbMATH Open0970.62059MaRDI QIDQ4947010FDOQ4947010

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Publication date: 3 October 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Gaussian processconditional heteroscedasticityLagrange-multiplier testthreshold time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cited In (26)

• Testing for nonlinearity in mean and volatility for heteroskedastic models
• Testing for structural change of AR model to threshold AR model
• Nonparametric simultaneous testing for structural breaks
• Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model
• Testing for threshold autoregression with conditional heteroscedasticity
• Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
• A note on diagnostic checking of the double autoregressive model
• Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Nonlinearity testing and modeling for threshold moving average models
• Testing for Threshold Effects in the TARMA Framework
• Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Asymptotic inference in multiple-threshold double autoregressive models
• Testing for threshold moving average with conditional heteroscedasticity
• Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold
• The validity of bootstrap testing for threshold autoregression
• Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
• Jointly testing linearity and nonstationarity within threshold autoregressions
• Identification of threshold autoregressive moving average models
• A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
• Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series
• Title not available (Why is that?)
• ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
• A simple and effective misspecification test for the double-hurdle model
• Testing for a linear MA model against threshold MA models

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