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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/5127
Title: Goodness-of-fit test for non-linear time series model
Authors: Han, Ngai Sze
Issue Date: 2002
Abstract: Many time series models have been extensively used in modelling economic and financial data. However, it is difficult to determine the functional forms of the conditional means and conditional variances in these models. In this thesis, a test statistic based on the squared conditional residuals (╬Át2/ht) is proposed for testing these functional forms, and its asymptotic distribution is obtained. The test statistic is applicable not only in the family of GARCH models but also in other non-linear time series models. Simulation results show that the proposed tests are powerful and have reasonable sizes. Two real examples are also given to illustrate our theory and methods.
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2002
vii, 48 leaves : ill. ; 30 cm
HKUST Call Number: Thesis MATH 2002 Han
URI: http://hdl.handle.net/1783.1/5127
Appears in Collections:MATH Master Theses

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