Conditional heteroscedasticity test for Poisson autoregressive model

DOI10.1080/03610926.2015.1085560zbMath1368.62249OpenAlexW2395551833MaRDI QIDQ4975153

De-Hui Wang, Zhi-Wen Zhao, 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

empirical likelihoodestimating equationPoisson autoregressive modelconditional heteroscedasticityinteger-valued time series

Mathematics Subject Classification ID

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

Related Items (1)

Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

Cites Work

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

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