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Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the US Federal Fund Rate

Li, S; Guo, B; Tu, YD

Tu, YD (reprint author), Peking Univ, Guanghua Sch Management, Beijing, Peoples R China.; Tu, YD (reprint author), Peking Univ, Ctr Stat Sci, Beijing, Peoples R China.

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2020; 82 (1): 235

Abstract

This paper proposes a simultaneous test for the specification of the conditional mean and conditional variance functions as well as the error distribu......

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