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Activity Number: 369
Type: Contributed
Date/Time: Tuesday, August 2, 2016 : 10:30 AM to 12:20 PM
Sponsor: Section on Nonparametric Statistics
Abstract #319330 View Presentation
Title: Lag Selection and Model Validation in Nonparametric Autoregressive Conditional Heteroscedastic Models
Author(s): Seonjin Kim* and Adriano Zambom
Companies: Miami University and Loyola University Chicago
Keywords: ANOVA ; Conditional heteroscedastic model ; Nonlinear model ; Nonparametric lag selection ; Nonparametric model validation

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.

Authors who are presenting talks have a * after their name.

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