DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
By Yongmiao Hong, Tae-Hwy Lee. Econometric Theory, 2003
79 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/02e56d914f63c52dafe7b806c47d03d0e3b7335b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Timo Teräsvirta
- Esfandiar Maasoumi
- Jeffrey S. Racine
- Clive W. J. Granger
- Mika Meitz
- Juan-Carlos Escanciano
- Andrew J. Patton
- Maria Pacurar
In Finance
- Timo Teräsvirta
- Esfandiar Maasoumi
- Jeffrey S. Racine
- Mika Meitz
- Juan-Carlos Escanciano
- Clive W. J. Granger
- Andrew J. Patton
- Eric Zivot
Citations in the corpus
- A Dependence Metric for Possibly Nonlinear Processes (2004, background): “Hong (1999) and Hong & Lee (2003) follow a similar”
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, methodology): “Models 1 and 5–11 have been considered by Hong and Lee (2003) and are well described there.”
- Evaluating Models of Autoregressive Conditional Duration (2006, background): “Recently, Li and Yu (2003) derived a portmanteau test for ACD models.”