ON THE ASYMPTOTIC STANDARD ERRORS OF RESIDUAL AUTOCORRELATIONS IN NONLINEAR TIME-SERIES MODELING
成果类型：
Article
署名作者：
LI, WK
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2336859
发表日期：
1992
页码：
435437
关键词：
摘要：
The asymptotic distribution of residual autocorrelations for some very general nonlinear time series models is derived. This includes the important class of threshold models. Consequently more accurate standard errors for residual autocorrelations can be obtained facilitating model diagnostic checkings in many situations. A small simulation result applying the methodology to threshold models is reported.