A Portmanteau Test for Smooth Transition Autoregressive Models
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Publication:5135319
DOI10.1111/jtsa.12512zbMath1453.62524MaRDI QIDQ5135319
Wai Keung Li, Qiang Xia, Zhi-Qiang Zhang
Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12512
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62H15: Hypothesis testing in multivariate analysis
62F05: Asymptotic properties of parametric tests
62M02: Markov processes: hypothesis testing
Cites Work
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- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Testing linearity against smooth transition autoregressive models
- On a measure of lack of fit in time series models
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- An efficient method for finding the minimum of a function of several variables without calculating derivatives
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Testing model adequacy for some Markov regression models for time series
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