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Specification Tests for Time Series Models with GARCH-Type Conditional Variance
Perera, Indeewara - 2018
Specification tests are developed for the conditional distribution of a dependent process {X<sub>i</sub>} in a family of nonlinear time-series models. The family includes several Generalized AutoRegressive Conditional Heteroscedastic [GARCH] models that are widely used in finance and economics. Such tests...
Persistent link: https://www.econbiz.de/10012924783
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Unit root tests and structural breaks
Silvapulle, Paramsothy - 1995
Persistent link: https://www.econbiz.de/10000947713
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Testing stationary nonnested short memory against long memory processes
Silvapulle, Paramsothy - 1995
Persistent link: https://www.econbiz.de/10000947716
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A lagrange multiplier test for seasonal fractional integration
Silvapulle, Paramsothy - 1995
Persistent link: https://www.econbiz.de/10000947717
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A score test for seasonal fractional integration and cointegration
Silvapulle, Param - 1996
Persistent link: https://www.econbiz.de/10000603420
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Testing AR(1) against MA(1) disturbances in the dynamic linear regression model
Silvapulle, Paramsothy - 1992
Persistent link: https://www.econbiz.de/10000837423
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Testing for AR(p) IMA(1,q) disturbances in the linear regression model
Silvapulle, Paramsothy - 1992
Persistent link: https://www.econbiz.de/10000837470
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Unit root testing : AR(1) against IMA(1,1) disturbances in the linear regression model
Silvapulle, Paramsothy - 1992
Persistent link: https://www.econbiz.de/10000837471
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The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
Silvapulle, Paramsothy - 1995
Persistent link: https://www.econbiz.de/10000947718
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Testing for nonlinearity in time series models
Beg, Rabiul Alam - 1996
Persistent link: https://www.econbiz.de/10000948477