A simple additivity test for conditionally heteroscedastic nonlinear autoregression
نویسندگان
چکیده
In this article we propose a test for additivity of a nonlinear conditionally heteroscedastic autoregressive model. A test is based on the unequal variance unbalanced design ANOVA scheme. Asymptotic distribution of the test statistic is derived and the test performance in finite samples is studied using simulation. To the best of our knowledge, this is the first additivity test for a conditionally heteroscedastic time series model.
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عنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 56 شماره
صفحات -
تاریخ انتشار 2012