A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models

DOI10.2307/3316013zbMath0994.62040OpenAlexW2161877893MaRDI QIDQ4546739

Gemai Chen, Min Chen

Publication date: 8 October 2002

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3316013

zbMATH Keywords

tablesthreshold autoregressive modelconditional heteroscedasticity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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