A new test for ARMA models with errors following a general white noise process

DOI10.1007/BF02562688zbMath0852.62083OpenAlexW2018021606MaRDI QIDQ1919727

Yanyan Li

Publication date: 11 November 1996

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02562688

zbMATH Keywords

consistencyasymptotic separationARMA modelsARMA-GTARCH modelsconditionally heteroscedastic white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

• Linear serial rank tests for randomness against ARMA alternatives
• An approach to testing linear time series models
• Stationarity of GARCH processes and of some nonnegative time series
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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