Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates

DOI10.1111/jtsa.12709OpenAlexW4384933391MaRDI QIDQ6135359

Unnamed Author, Ngai Hang Chan

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12709

zbMATH Keywords

functional coefficient cointegrationorthogonal series approximation\(L_2\)-type test statisticsintegrated index variableparameter constancy testing

Mathematics Subject Classification ID

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

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