A Portmanteau Test for Smooth Transition Autoregressive Models

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

zbMATH Keywords

least-squares method; nonlinear time series; portmanteau test; STAR models

Mathematics Subject Classification ID

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

• Testing the adequacy of smooth transition autoregressive models
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• 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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item