Browsing by Subject "Model misspecification"
Now showing items 1-3 of 3
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Article
Modelling interventions in INGARCH processes
(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 ...
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Article
Residual-based rank specification tests for AR-GARCH type models
(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 ...
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Article
Semiparametric inference for the two-way layout under order restrictions
(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 ...