Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors

DOI10.1007/s00362-008-0171-yzbMath1247.62218OpenAlexW2086759172MaRDI QIDQ451457

Chun-Zheng Cao, Jin-Guan Lin, Li Xing Zhu

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-008-0171-y

zbMATH Keywords

asymptotic propertiesheteroscedasticityscore test\(AR(1)\) errorsapproximate local powerssymmetrical distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05) Diagnostics, and linear inference and regression (62J20)

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