Fitting a two phase threshold multiplicative error model

DOI10.1016/j.jeconom.2016.12.002zbMath1422.62165OpenAlexW2563707157MaRDI QIDQ515143

Indeewara Perera, Hira L. Koul

Publication date: 10 March 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.12.002

zbMATH Keywords

martingale transformKolmogorov-Smirnovlack-of-fit test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)

Related Items

Bootstrap specification tests for dynamic conditional distribution models, A class of minimum distance estimators in Markovian multiplicative error models, Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary, Adaptive Lasso for vector Multiplicative Error Models, Bootstrap based probability forecasting in multiplicative error models, A minimum distance lack-of-fit test in a Markovian multiplicative error model

Uses Software

• TSA

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