Conditional heteroscedasticity test for Poisson autoregressive model

DOI10.1080/03610926.2015.1085560MaRDI QIDQ4975153zbMATH OpenOpenAlexFDO

Authors Zhiwen Zhao, Dehui Wang, Cui-Xin Peng

Publication date 3 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1085560

zbMATH Keywords

estimating equationempirical likelihoodPoisson autoregressive modelconditional heteroscedasticityinteger-valued time series

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• An adaptive empirical likelihood test for parametric time series regression models
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood confidence regions in time series models
• Empirical likelihood for linear models
• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• Estimation and testing for a Poisson autoregressive model
• Generalized empirical likelihood tests in time series models with potential identification failure
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Integer-Valued GARCH Process
• Observation-driven models for Poisson counts
• Statistical inference for generalized random coefficient autoregressive model

Cited in

(6)

• Estimation and testing for a Poisson autoregressive model
• Specification Test for Poisson Regression Models
• Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
• Parameter Change Test for Poisson Autoregressive Models
• Stationarity test for Poisson autoregressive model
• A robust approach for testing parameter change in Poisson autoregressive models

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