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- W1554429113 abstract ". Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an interesting feature in econometric and financial models. In this article, we present a procedure to test for this feature in a non‐parametric context. The test is based on the difference between two non‐parametric estimators of the distribution of the regression error. Asymptotic results are proved and some simulations are shown in the paper in order to illustrate the finite sample properties of the procedure. (This abstract was borrowed from another version of this item.)" @default.
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- W1554429113 date "2007-01-01" @default.
- W1554429113 modified "2023-09-27" @default.
- W1554429113 title "Goodness-of-fit tests for multiplicativemodels with dependent data" @default.
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