SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
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Publication:5199498
DOI10.1017/S0266466610000502zbMath1219.62076OpenAlexW2021577323MaRDI QIDQ5199498
Publication date: 16 August 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000502
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Related Items (5)
Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ A joint test for parametric specification and independence in nonlinear regression models
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