Specification testing in nonparametric AR-ARCH models

11 Oct 2016 Hušková Marie Neumeyer Natalie Niebuhr Tobias Selk Leonie

In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonparametrically. A test for the model assumption of independence of innovations from past time series values is suggested... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY