Koul, Hira L.; Zhu, Xiaoqing - In: Journal of Multivariate Analysis 137 (2015) C, pp. 141-160
This paper discusses the goodness-of-fit testing of an error distribution in a nonparametric autoregressive conditionally heteroscedastic model of order one. The test is based on a weighted empirical distribution function of the residuals, where the residuals are obtained from a local linear fit...