Hypothesis testing for some time-series models: a power comparison

DOI10.1016/S0167-7152(97)00166-1zbMath1246.62190OpenAlexW1970104907MaRDI QIDQ449924

A. Thavaneswaran, M. Shelton Peiris

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00166-1

zbMATH Keywords

nonlinearrandom coefficientsautoregressionestimating functiontest statisticsoptimal power

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Nonparametric estimation (62G05)

Cites Work

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• Estimation in nonlinear time series models
• Quasi-likelihood estimation for semimartingales
• Nonparametric estimation for some nonlinear models
• The foundations of finite sample estimation in stochastic processes
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• An Optimum Property of Regular Maximum Likelihood Estimation

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