Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
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Cites work
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- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
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Cited in
(18)- Diagnostic checking of the vector multiplicative error model
- On estimating the nonparametric multiplicative error models
- Diagnostic checking of Markov multiplicative error models
- Bootstrap based probability forecasting in multiplicative error models
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- Specification tests for multiplicative error models
- Testing weak exogeneity in multiplicative error models
- Location multiplicative error models with quasi maximum likelihood estimation
- Adaptive Lasso for vector multiplicative error models
- Fitting a two phase threshold multiplicative error model
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Bootstrap specification tests for dynamic conditional distribution models
- A class of minimum distance estimators in Markovian multiplicative error models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Evaluating multiplicative error models: a residual-based approach
- A misspecification test for multiplicative error models of non-negative time series processes
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