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- Title
A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models.
- Authors
Chen, Min; Chen, Gemai
- Abstract
The article presents a nonparametric test to verify the existence of conditional heteroscedasticity in the creation or use of threshold autoregressive models in time-series applications. The authors develop the large-sample theory of a test of nonlinear conditional heteroscedasticity that have been adapted to nonlinear autoregressives models, and use simulations in their study of its finite-sample properties. Percentage points for carrying out the test are also presented.
- Subjects
NONPARAMETRIC statistics; ARCH model (Econometrics); HETEROSCEDASTICITY; AUTOREGRESSION (Statistics)
- Publication
Canadian Journal of Statistics, 2001, Vol 29, Issue 4, p649
- ISSN
0319-5724
- Publication type
Article
- DOI
10.2307/3316013