A Specification Test Based on Convolution-Type Distribution Function Estimates for Non-Linear Autoregressive Processes

نویسندگان

چکیده

This chapter proposes a test for parametric specification of the autoregressive function given stationary time series. is based on integrated square difference between empirical distribution estimate and convolution-type obtained from residuals. Some asymptotic properties proposed are studied when model’s innovation density unknown. These in turn used to derive null statistic. We also discuss some finite sample statistic block bootstrap methodology. A simulation study shows that competes favorably with existing tests terms level power.

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ژورنال

عنوان ژورنال: Advances in econometrics

سال: 2023

ISSN: ['0731-9053']

DOI: https://doi.org/10.1108/s0731-90532023000045a006