New goodness-of-fit tests for the error distribution of autoregressive time-series models

DOI10.1016/S0167-9473(02)00233-5zbMath1429.62414MaRDI QIDQ951930

W. O. Doku, C. J. Swanepoel

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

bootstrapscore testtest for normalityShapiro-Wilk testerror distributiontime-series models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models

Cites Work

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• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results

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