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A new test for ARMA models with errors following a general white noise process

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  • E. Gonçalves
  • P. Jacob
  • N. Lopes

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  • E. Gonçalves & P. Jacob & N. Lopes, 1996. "A new test for ARMA models with errors following a general white noise process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 187-202, June.
    • Handle: RePEc:spr:testjl:v:5:y:1996:i:1:p:187-202
    DOI: 10.1007/BF02562688
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    References listed on IDEAS

    as
    1. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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