A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models

	A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
	Chen, M; Chen, GM
刊名	CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
	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
出版者	CANADIAN JOURNAL STATISTICS
WOS记录号	WOS:000173921500009
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/16740]
专题	中国科学院数学与系统科学研究院
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.