PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS
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Publication:3453250
DOI10.1017/S0266466614000681zbMath1441.62774OpenAlexW2158080109MaRDI QIDQ3453250
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Publication date: 20 November 2015
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000681
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)
Related Items (3)
Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Root-\(T\) consistent density estimation in GARCH models ⋮ A joint test for parametric specification and independence in nonlinear regression models
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