A misspecification test for multiplicative error models of non-negative time series processes

DOI10.1016/j.jeconom.2015.03.028zbMath1337.62261OpenAlexW2010767788WikidataQ57936780 ScholiaQ57936780MaRDI QIDQ888328

Nam Hyun Kim, Patrick W. Saart, J. T. Gao

Publication date: 30 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.028

zbMATH Keywords

hypothesis testingmultiplicative error modeldependent point processpositive time-series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) 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)

Related Items

Evaluating multiplicative error models: a residual-based approach ⋮ On estimating the nonparametric multiplicative error models ⋮ Frontiers in time series and financial econometrics: an overview ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ Bootstrap inference for Hawkes and general point processes ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Fitting a two phase threshold multiplicative error model ⋮ Diagnostic checking of Markov multiplicative error models

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