Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors

DOI10.1016/j.spl.2021.109184zbMath1477.62249OpenAlexW3173199247MaRDI QIDQ2244596

Naâmane Laïb, Tewfik Lounis

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109184

zbMATH Keywords

efficiencycontiguityLANtime series modelsquadratic mean differentiability\( \beta \)-ARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
• A locally asymptotically powerful test for nonlinear autoregressive models
• Asymptotic methods in statistical decision theory
• The geometric ergodicity and existence of moments for a class of nonlinear time series model
• Asymptotic theory of statistical inference for time series
• Optimal tests in AR (m) time series model
• On Large-Sample Estimation and Testing in Parametric Models
• Estimating Equations for Parameters in Means and Covariances of Multivariate Discrete and Continuous Responses
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Contiguity of Probability Measures
• Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
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