IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v78y2008i1p50-59.html
   My bibliography  Save this article

A goodness-of-fit test of the errors in nonlinear autoregressive time series models

Author

Listed:
  • Cheng, Fuxia
  • Sun, Shuxia

Abstract

This paper considers the problem of fitting an error density to the goodness-of-fit test of the errors in a nonlinear autoregressive stationary time series regression model. The test statistic is based on the integrated squared error of the nonparametric error density estimate and the null error density. Without knowing the nonlinear autoregressive function, we can show that the test statistic behaves asymptotically the same as the one based on the true errors.

Suggested Citation

  • Cheng, Fuxia & Sun, Shuxia, 2008. "A goodness-of-fit test of the errors in nonlinear autoregressive time series models," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 50-59, January.
  • Handle: RePEc:eee:stapro:v:78:y:2008:i:1:p:50-59
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(07)00194-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lee, Sangyeol & Na, Seongryong, 2002. "On the Bickel-Rosenblatt test for first-order autoregressive models," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 23-35, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gao, Min & Yang, Wenzhi & Wu, Shipeng & Yu, Wei, 2022. "Asymptotic normality of residual density estimator in stationary and explosive autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
    2. Cheng, Fuxia, 2015. "Strong consistency of the distribution estimator in the nonlinear autoregressive time series," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 41-47.
    3. Benjamin Colling & Cédric Heuchenne & Rawane Samb & Ingrid Van Keilegom, 2015. "Estimation of the error density in a semiparametric transformation model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 1-18, February.
    4. Shang, Han Lin, 2013. "Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 185-198.
    5. Fuxia Cheng, 2010. "Global property of error density estimation in nonlinear autoregressive time series models," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 43-53, April.
    6. Fuxia Cheng & Hira L. Koul, 2023. "An analog of Bickel–Rosenblatt test for fitting an error density in the two phase linear regression model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(1), pages 27-56, January.
    7. Xibin Zhang & Maxwell L. King & Han Lin Shang, 2016. "Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors," Econometrics, MDPI, vol. 4(2), pages 1-27, April.
    8. Kaiyu Liang & Yong Zhang, 2024. "Almost Sure Central Limit Theorem for Error Variance Estimator in Pth-Order Nonlinear Autoregressive Processes," Mathematics, MDPI, vol. 12(10), pages 1-16, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Horváth, Lajos & Zitikis, Ricardas, 2004. "Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 91-103, January.
    2. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    3. Nadine Hilgert & Bruno Portier, 2012. "Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 15(2), pages 105-125, July.
    4. Cheng, Fuxia, 2018. "Glivenko–Cantelli Theorem for the kernel error distribution estimator in the first-order autoregressive model," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 95-102.
    5. Bachmann, Dirk & Dette, Holger, 2005. "A note on the Bickel-Rosenblatt test in autoregressive time series," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 221-234, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:78:y:2008:i:1:p:50-59. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.