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Goodness-of-fit test for nonlinear time series models

Han, Ngai Sze; Ling, Shiqing - In: Annals of financial economics 12 (2017) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011716102

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Yang, Yaxing; Ling, Shiqing - In: Journal of econometrics 197 (2017) 2, pp. 368-381

Persistent link: https://www.econbiz.de/10011818364

Testing serial correlation and ARCH effect of high-dimensional time-series data

Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147

Persistent link: https://www.econbiz.de/10012424504

Testing for structural change of predictive regression model to threshold predictive regression model

Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - 2020

Persistent link: https://www.econbiz.de/10012425329

Testing for structural change of predictive regression model to threshold predictive regression model

Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 228-240

Persistent link: https://www.econbiz.de/10013540808

Mixed Portmanteau Tests for Time-Series Models

Wong, Heung; Ling, Shiqing - 2005

This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply...

Persistent link: https://www.econbiz.de/10014064460