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Conditional heteroscedasticity test for Poisson autoregressive model |
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| Authors: | Zhiwen Zhao Dehui Wang Cuixin Peng |
| Affiliation: | 1. College of Mathematics, Jilin Normal University, Siping, P.?R.?Chinazhaozhiwen@126.com;3. College of Mathematics, Jilin University, Changchun, P.?R.?China;4. Public Foreign Languages Department, Jilin Normal University, Siping, P. R. China |
| Abstract: | In this article, the problem of interest is testing the conditional heteroscedasticity of Poisson autoregressive model. We construct a non parametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use. |
| Keywords: | Conditional heteroscedasticity empirical likelihood estimating equation integer-valued time series Poisson autoregressive model |