Browsing by Subject "Model misspecification"

Now showing items 1-3 of 3

    • Article  

      Modelling interventions in INGARCH processes 

      Liboschik, T.; Kerschke, P.; Fokianos, Konstantinos; Fried, R. (2016)
      We study different approaches for modelling intervention effects in time series of counts, focusing on the so-called integer-valued GARCH models. A previous study treated a model where an intervention affects the non-observable ...
    • Article  

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

      Andreou, Elena; Werker, Bas J. M. (2015)
      This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial ...
    • Article  

      Semiparametric inference for the two-way layout under order restrictions 

      Davidov, O.; Fokianos, Konstantinos; Iliopoulos, George (2014)
      There are many situations in which a researcher would like to analyse data from a two-way layout. Often, the assumptions of linearity and normality may not hold. To address such situations, we introduce a semiparametric ...