Conditional heteroscedasticity test for Poisson autoregressive model

被引：1
|
作者：
Zhao, Zhiwen [1 ]
Wang, Dehui [2 ]
Peng, Cuixin [3 ]
机构：
[1] Jilin Normal Univ, Coll Math, Siping 136000, Peoples R China
[2] Jilin Univ, Coll Math, Changchun, Peoples R China
[3] Jilin Normal Univ, Publ Foreign Languages Dept, Siping, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 09期
基金：
中国国家自然科学基金;
关键词：
Conditional heteroscedasticity; empirical likelihood; estimating equation; integer-valued time series; Poisson autoregressive model; TIME-SERIES MODELS; EMPIRICAL LIKELIHOOD; CONFIDENCE-REGIONS; LINEAR-MODELS;
D O I：
10.1080/03610926.2015.1085560
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：
In this article, the problem of interest is testing the conditional heteroscedasticity of Poisson autoregressive model. We construct a non parametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use.
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页码：4437 / 4448
页数：12
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