A note on diagnostic checking of the double autoregressive model

DOI10.1080/00949650801903309zbMath1186.62108OpenAlexW2015760167MaRDI QIDQ3638581

Wai Keung Li, Simon Sai Man Kwok

Publication date: 27 October 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650801903309

zbMATH Keywords

diagnostic checkingdouble autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)

Related Items (1)

On a vector double autoregressive model

Cites Work

• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Estimation and Testing Stationarity for Double-Autoregressive Models
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