Goodness‐of‐Fit Tests for Multiplicative Models with Dependent Data

Abstract

Abstract. Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an interesting feature in econometric and financial models. In this article, we present a procedure to test for this feature in a non‐parametric context. The test is based on the difference between two non‐parametric estimators of the distribution of the regression error. Asymptotic results are proved and some simulations are shown in the paper in order to illustrate the finite sample properties of the procedure.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 21 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.