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A note on non-parametric testing for Gaussian innovations in AR–ARCH models

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  • Natalie Neumeyer
  • Leonie Selk

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  • Natalie Neumeyer & Leonie Selk, 2013. "A note on non-parametric testing for Gaussian innovations in AR–ARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 362-367, May.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:3:p:362-367
    DOI: 10.1111/(ISSN)1467-9892
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    Cited by:

    1. Juan Carlos Pardo-Fernández & M. Dolores Jiménez-Gamero, 2019. "A model specification test for the variance function in nonparametric regression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(3), pages 387-410, September.
    2. Koul, Hira L. & Zhu, Xiaoqing, 2015. "Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 141-160.
    3. Leonie Selk & Natalie Neumeyer, 2013. "Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 770-788, December.

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