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Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 189, 期号: 2, 页码: 313-320
Authors:  Chen, Min;  Zhu, Ke
Favorite  |  View/Download:80/0  |  Submit date:2018/07/30
ARCH-type model  Heavy-tailed innovation  LAD estimator  Model diagnostics  Sign-based portmanteau test  
A bootstrapped spectral test for adequacy in weak ARMA models 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 187, 期号: 1, 页码: 113-130
Authors:  Zhu, Ke;  Li, Wai Keung
Favorite  |  View/Download:45/0  |  Submit date:2018/07/30
Block-wise random weighting method  Diagnostic checking  Least squares estimation  Spectral test  Weak ARMA models  Wild bootstrap