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  • Search: subject:"Exponential autoregressive (EXPAR) model"
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Subject
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Diagnostic checking 1 Exponential autoregressive (EXPAR) model 1 Lagrange Multiplier (LM) tests 1 Least Squares Estimator 1 Likelihood Ratio (LR) 1 Non Linear models 1 Smooth Transition Autoregressive (STAR) 1 Supremum Tests 1 Threshold AR (TAR) 1 Wald test 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Francq, Christian 1 Horvath, Lajos 1 Zakoian, Jean-Michel 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space
Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2008
We consider linearity testing in a general class of nonlinear time series model of order 1, involving a nonnegative nuisance parameter which (i) is not identified under the null hypothesis and (ii) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the...
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