Abstract Details
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Activity Number:
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238
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Type:
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Contributed
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Date/Time:
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Monday, August 4, 2014 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract #311828
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View Presentation
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Title:
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Goodness-of-Fit Testing in Nonparametric Autoregressive Conditional Heteroscedastic Models
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Author(s):
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Xiaoqing Zhu*+
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Companies:
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Keywords:
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Nonparametric autogression ;
Heteroscedasticity ;
Local linear smoother ;
Goodness-of-fit test ;
Martingale transfromation ;
Nonparametric density estimation
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Abstract:
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This paper discusses the the goodness-of-fit testing of the error distribution in a nonparametric autoregressive conditional heteroscedastic model of order one. The residuals are obtained from a local linear fit for the autoregressive and variance functions. The tests are based on a weighted empirical distribution function of the residuals. An asymptotically distribution free test is obtained via the Khmaladze martingale transformation. We also derive the asymptotic distributions of Bickel-Rosenblatt type test under the null hypothesis, and under certain nonparametric alternatives.
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Authors who are presenting talks have a * after their name.
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