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 | |
| Source Publication | CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
 |
| ISSN | 0319-5724 |
| Volume | 29Issue:4Pages:649-666 |
| Abstract | 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. |
| Keyword | conditional heteroscedasticity nonparametric test threshold autoregressive model |
| Language | 英语 |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000173921500009 |
| Publisher | CANADIAN JOURNAL STATISTICS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/16741 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Chen, M |
| Affiliation | Chinese 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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