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A Portmanteau Test for Smooth Transition Autoregressive Models

Xia, Q; Zhang, ZQ; Li, WK

Xia, Q (reprint author), South China Agr Univ, Coll Math & Informat, Guangzhou 510642, Guangdong, Peoples R China.

JOURNAL OF TIME SERIES ANALYSIS, 0; ():

Abstract

This article investigates a portmanteau test statistic for checking model adequacy of smooth transition autoregressive (STAR) models. The asymptotic d......

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