A divergence test for autoregressive time series models
Ημερομηνία
2011ISSN
1572-3127Source
Statistical MethodologyVolume
8Issue
5Pages
442-450Google Scholar check
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Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
In this paper, we study the normality test for the innovations of unstable autoregressive models based on the divergence test. In order to investigate the asymptotic behavior of the tests, we use the link between the divergence test and the residual empirical process. Simulation results are provided for illustration. © 2011 Elsevier B.V.