ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR

DOI10.1081/STA-120004917zbMath1075.62619MaRDI QIDQ4449054

Djamal Louani, Naâmane Laïb

Publication date: 4 February 2004

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

TightnessErgodic processesChi-square testMartingale differenceARCH-errorsAutoregression model

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 (3)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ On residual empirical processes of GARCH-SM models: application to conditional symmetry tests ⋮ Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

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