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Consistent misspecification testing in spatial autoregressive models

Lee, Jungyoon; Phillips, Peter C. B.; Rossi, Francesca - 2020

Persistent link: https://www.econbiz.de/10012322364

Comprehensive testing of linearity against the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - 2019 - This version: August 2019

Persistent link: https://www.econbiz.de/10012316842

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - In: Econometric reviews 41 (2022) 8, pp. 966-984

Persistent link: https://www.econbiz.de/10013364922

Residual-based rank specification tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

Persistent link: https://www.econbiz.de/10011348447

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383

Persistent link: https://www.econbiz.de/10010392170

Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure

Amado, Cristina; Teräsvirta, Timo - 2008

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

Persistent link: https://www.econbiz.de/10010281252