Specification testing in nonparametric AR‐ARCH models
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Abstract: In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonparametrically. A test for the model assumption of independence of innovations from past time series values is suggested. The test is based on an weighted -distance of empirical characteristic functions. The asymptotic distribution under the null hypothesis of independence is derived and consistency against fixed alternatives is shown. A smooth autoregressive residual bootstrap procedure is suggested and its performance is shown in a simulation study.
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Cited in
(20)- Specification testing in nonlinear and nonstationary time series autoregression
- Model specification testing of time series regressions
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