Model checks of higher order time series

DOI10.1016/j.spl.2006.02.009zbMath1094.62117OpenAlexW2030812019MaRDI QIDQ2497798

M. Presedo Quindimil, Wenceslao González Manteiga, Winfried Stute, Hira L. Koul

Publication date: 4 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2006.02.009

zbMATH Keywords

dimension reducing modelinvariance principle for marked empirical processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Related Items

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations, An updated review of goodness-of-fit tests for regression models, Rejoinder on: ``An updated review of goodness-of-fit tests for regression models, Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary, A Review on Dimension-Reduction Based Tests For Regressions, Empirical likelihood based testing for regression, Testing nonstationary and absolutely regular nonlinear time series models, Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Uses Software

• Fahrmeir

Cites Work

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