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

DOI10.1016/S0167-9473(02)00233-5zbMATH Open1429.62414MaRDI QIDQ951930FDOQ951930

Authors: C. J. Swanepoel, W. O. Doku 

Publication date: 4 November 2008

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

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zbMATH Keywords

bootstrapscore testerror distributiontest for normalityShapiro-Wilk testtime-series models

Mathematics Subject Classification ID

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

Cites Work

• A Test for Normality of Observations and Regression Residuals
• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• An analysis of variance test for normality (complete samples)
• Title not available (Why is that?)
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results
• On the Bickel-Rosenblatt test for first-order autoregressive models
• Goodness-of-fit tests based on estimated expectations of probability integral transformed order statistics
• Time series models in non-normal situation: symmetric innovations
• Robust estimation for the coefficient of a first order autoregressive process

Cited In (7)

• A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms
• Bootstrap procedures for online monitoring of changes in autoregressive models
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• A score type test for general autoregressive models in time series
• Maximum entropy test for autoregressive models
• Title not available (Why is that?)
• Goodness-of-fit tests for autoregressive processes

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