SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE

DOI10.1017/S0266466610000241zbMath1210.62118OpenAlexW2169701605MaRDI QIDQ3168871

Qiying Wang, Jiying Yin, J. T. Gao

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000241

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Multidimensional specification test based on non-stationary time series ⋮ SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY ⋮ Long-range dependent time series specification ⋮ Model checking for parametric regressions with response missing at random

Uses Software

• longmemo

Cites Work

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