Goodness‐of‐fit test for a nonlinear time series

Yoichi Nishiyama

Journal of Time Series Analysis, 2009, vol. 30, issue 6, 674-681

Abstract: Abstract. Goodness‐of‐fit test in a general model of nonlinear time series is considered. We present an asymptotically distribution‐free test based on a random field of innovation martingales. Its consistency under any fixed alternative is also proved.

Date: 2009
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https://doi.org/10.1111/j.1467-9892.2009.00633.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:6:p:674-681

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