Nonparametric bootstrap tests for neglected nonlinearity in time series regression models∗

DOI10.1080/10485250108832860zbMath1113.62324OpenAlexW2057258217MaRDI QIDQ2744171

Tae-Hwy Lee, Aman Ullah

Publication date: 19 September 2001

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://www.cdedse.org/pdf/work77.pdf

zbMATH Keywords

Monte CarloTime seriesGARCHNonlinearityNonparametric testWild bootstrapConditional heteroskedas-ticityConditional moment testFunctional-coefficient modelNaive bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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