Conditional heteroscedasticity test for Poisson autoregressive model

Zhiwen Zhao, Dehui Wang and Cuixin Peng

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 9, 4437-4448

Abstract: In this article, the problem of interest is testing the conditional heteroscedasticity of Poisson autoregressive model. We construct a non parametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use.

Date: 2017
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DOI: 10.1080/03610926.2015.1085560

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