Optimal tests for autoregressive models based on autoregression rank scores

DOI10.1214/aos/1017938931zbMath0962.62084OpenAlexW2069269567MaRDI QIDQ1568277

Marc Hallin, Jana Jureckova

Publication date: 19 June 2001

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1017938931

zbMATH Keywords

time seriesasymptotic testsautoregressive modelsautoregression rank scores

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Asymptotic properties of parametric tests (62F05)

Related Items

Estimation in autoregressivemodels based on autoregressionrank scores ⋮ Finite-sample distribution of regression quantiles ⋮ Extremal quantile autoregression for heavy-tailed time series ⋮ Order Patterns in Time Series ⋮ Nonparametric tests in linear model with autoregressive errors ⋮ Regression quantiles and their two-step modifications ⋮ Averaged Autoregression Quantiles in Autoregressive Model ⋮ Inference for spatial autoregressive models with infinite variance noises ⋮ Specification tests of parametric dynamic conditional quantiles ⋮ Quantile Autoregression for Censored Data ⋮ Analysis of Bivariate Coupling by Means of Recurrence

Uses Software

• AS 229

Cites Work

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