Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates

DOI10.1111/JTSA.12709MaRDI QIDQ6135359zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12709

zbMATH Keywords

\(L_2\)-type test statisticsfunctional coefficient cointegrationintegrated index variableorthogonal series approximationparameter constancy testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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