Testing for the buffered autoregressive processes
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- Andrabi,Tahir & Das,Jishnu & Khwaja,Asim Ijaz, 2015. "Delivering education : a pragmatic framework for improving education in low-income countries," Policy Research Working Paper Series 7277, The World Bank.
- Ke Zhu & Wai Keung Li & Philip L. H. Yu, 2017.
"Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 528-542, October.
- Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
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More about this item
Keywords
AR(p) model; Bootstrap method; Buffered AR(p) model; Likelihood ratio test; Marked empirical process; Threshold AR(p) model.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-12-06 (Econometrics)
- NEP-ETS-2013-12-06 (Econometric Time Series)
- NEP-ORE-2013-12-06 (Operations Research)
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