LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS

DOI10.1017/S0266466612000102zbMath1281.62173OpenAlexW2155499013MaRDI QIDQ5397672

Hira L. Koul, Indeewara Perera, Mervyn J. Silvapullé

Publication date: 24 February 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000102

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02)

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Evaluating multiplicative error models: a residual-based approach, Diagnostic checking of the vector multiplicative error model, On estimating the nonparametric multiplicative error models, 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, SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS, Bootstrap based probability forecasting in multiplicative error models, A minimum distance lack-of-fit test in a Markovian multiplicative error model, Fitting a two phase threshold multiplicative error model, Diagnostic checking of Markov multiplicative error models, Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model, A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

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