Conditional heteroscedasticity test for Poisson autoregressive model

被引：1

作者：

Zhao, Zhiwen ^{[1
]}

Wang, Dehui ^{[2
]}

Peng, Cuixin ^{[3
]}

机构：

[1] Jilin Normal Univ, Coll Math, Siping 136000, Peoples R China

[2] Jilin Univ, Coll Math, Changchun, Peoples R China

[3] Jilin Normal Univ, Publ Foreign Languages Dept, Siping, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Conditional heteroscedasticity; empirical likelihood; estimating equation; integer-valued time series; Poisson autoregressive model; TIME-SERIES MODELS; EMPIRICAL LIKELIHOOD; CONFIDENCE-REGIONS; LINEAR-MODELS;

D O I：

10.1080/03610926.2015.1085560

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, the problem of interest is testing the conditional heteroscedasticity of Poisson autoregressive model. We construct a non parametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use.

引用

页码：4437 / 4448

页数：12

共 18 条

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