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A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
Chen, M; Chen, GM
2001-12-01
Source PublicationCANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
ISSN0319-5724
Volume29Issue:4Pages:649-666
AbstractThreshold 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.
Keywordconditional heteroscedasticity nonparametric test threshold autoregressive model
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000173921500009
PublisherCANADIAN JOURNAL STATISTICS
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/16741
Collection中国科学院数学与系统科学研究院
AffiliationChinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation
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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