Goodness-of-fit test for a nonlinear time series

Goodness-of-fit test in a general model of nonlinear time series is considered. We present an asymptotically distribution-free test based on a random field of innovation martingales. Its consistency under any fixed alternative is also proved. Copyright 2009 Blackwell Publishing Ltd

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Year of publication:	2009
Authors:	Nishiyama, Yoichi
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 30.2009, 6, p. 674-681
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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