A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models

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	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.