Checking nonlinear heteroscedastic time series models

被引：15

作者：

Ngatchou-Wandji, J ^{[1
]}

机构：

[1] Univ Caen, Dept Math, F-14032 Caen, France

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2005年 / 133卷 / 01期

关键词：

contiguity; goodness of fit; heteroscedastic models; LAN; local alternatives; time series;

D O I：

10.1016/j.jspi.2004.03.013

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A procedure for testing simultaneously, the parametric forms of the conditional mean and the conditional variance functions of a real-valued heteroscedastic time series model is proposed. The Wald test statistic is based on a vector whose components are suitable normalized sums of some weighted residual series. The test is consistent under some fixed alternatives. The local power under two sequences of local alternatives is studied. A LAN property for the parametric model of interest is also established. Experiment conducted shows that the test performs well on the examples tested. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：33 / 68

页数：36

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