A divergence test for autoregressive time series models |
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| Authors: | S. Lee A. Karagrigoriou |
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| Affiliation: | 1. Department of Statistics, Seoul National University, Seoul, South Korea;2. Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus |
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| Abstract: | In this paper, we study the normality test for the innovations of unstable autoregressive models based on the divergence test. In order to investigate the asymptotic behavior of the tests, we use the link between the divergence test and the residual empirical process. Simulation results are provided for illustration. |
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