Semiparametric independence testing for time series of counts and the role of the support

DOI10.1017/S0266466618000403zbMATH Open1433.62260OpenAlexW2906564183WikidataQ128695219 ScholiaQ128695219MaRDI QIDQ5205272FDOQ5205272

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Publication date: 11 December 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000403

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zbMATH Keywords

time seriessemiparametric testinteger autoregressive (INAR) model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Title not available (Why is that?)
• Title not available (Why is that?)
• A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Thinning operations for modeling time series of counts -- a survey
• Estimation for an M/G/  queue with incomplete information
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• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Efficient Probabilistic Forecasts for Counts
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Testing for serial dependence in time series models of counts
• Score statistics for testing serial dependence in count data
• Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
• Heterogeneous INAR(1) model with application to car insurance
• Asymptotically uniformly most powerful tests in parametric and semiparametric models
• A time series approach to the study of the simple subcritical Galton–Watson process with immigration
• Goodness-of-fit for a branching process with immigration using sample partial autocorrelations
• SPECIFICATION TESTING WHEN THE NULL IS NONPARAMETRIC OR SEMIPARAMETRIC

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