Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance

DOI10.1080/01621459.2014.884504zbMath1368.62245arXiv1212.2652OpenAlexW1998455469MaRDI QIDQ4975562

Valentin Patilea, Hamdi Raïssi

Publication date: 7 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2652

zbMATH Keywords

bootstrapkernel smoothingbandwidth selectionadaptive teststime-varyingportmanteau testsARCH-LM tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Stationary subspace analysis based on second-order statistics ⋮ Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach ⋮ Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

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