KMS Of Academy of mathematics and systems sciences, CAS
A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models | |
Chen, M; Chen, GM | |
2001-12-01 | |
发表期刊 | CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE |
ISSN | 0319-5724 |
卷号 | 29期号:4页码:649-666 |
摘要 | Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is important to know whether conditional heteroscedasticity exists. The authors propose a nonparametric test of this hypothesis. They develop the large-sample theory of a test of nonlinear conditional heteroscedasticity adapted to nonlinear autoregressive models and study its finite-sample properties through simulations. They also provide percentage points for carrying out this test, which is found to have very good power overall. |
关键词 | conditional heteroscedasticity nonparametric test threshold autoregressive model |
语种 | 英语 |
WOS研究方向 | Mathematics |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000173921500009 |
出版者 | CANADIAN JOURNAL STATISTICS |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/16741 |
专题 | 应用数学研究所 |
通讯作者 | Chen, M |
作者单位 | Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China |
推荐引用方式 GB/T 7714 | Chen, M,Chen, GM. A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,2001,29(4):649-666. |
APA | Chen, M,&Chen, GM.(2001).A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models.CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,29(4),649-666. |
MLA | Chen, M,et al."A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models".CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE 29.4(2001):649-666. |
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