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Activity Number:
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369
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Type:
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Contributed
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Date/Time:
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Tuesday, August 2, 2016 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract #319330
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View Presentation
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Title:
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Lag Selection and Model Validation in Nonparametric Autoregressive Conditional Heteroscedastic Models
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Author(s):
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Seonjin Kim* and Adriano Zambom
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Companies:
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Miami University and Loyola University Chicago
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Keywords:
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ANOVA ;
Conditional heteroscedastic model ;
Nonlinear model ;
Nonparametric lag selection ;
Nonparametric model validation
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Abstract:
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The aim of this paper is two-fold: for a nonparametric autoregressive conditional heteroscedastic model, to propose a consistent lag selection procedure; and given a parametric form specified a priori, to develop a model validation test. Both methods are based on a new powerful test statistic developed to check the influence of a lag on the conditional mean function. The asymptotic properties of this test statistic are investigated under the null and local alternative hypotheses. Extensive simulation studies suggest that the proposed lag selection method and model validation procedure outperform existing methods for nonlinear models.
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Authors who are presenting talks have a * after their name.
