Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
鞅差新息时间序列中条件均值与波动的联合参数设定检验
Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale difference innovations. The main challenge comes from the fact the cumulative residual process no longer admits, under the null hypothesis, a distribution-free limit. To obtain a practical solution one either transforms the process in order to achieve a distribution-free limit or approximates the…