A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
文献类型：期刊论文
| 作者 | Chen, M ; Chen, GM
|
| 刊名 | CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
 |
| 出版日期 | 2001-12-01 |
| 卷号 | 29期号:4页码:649-666 |
| 关键词 | conditional heteroscedasticity nonparametric test threshold autoregressive model |
| ISSN号 | 0319-5724 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000173921500009 |
| 出版者 | CANADIAN JOURNAL STATISTICS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/16740]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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