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Testing the compounding structure of the CP-INARCH model
(Preprint)
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<Reference List>
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Type:
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Preprint
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National /International:
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International
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| Title: |
Testing the compounding structure of the CP-INARCH model
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Publication Date:
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2017-01-26
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Authors:
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- Christian H. Weiss
- Esmeralda Gonçalves
- Nazaré Mendes-Lopes
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Abstract:
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A statistical test to distinguish between a Poisson INARCH model and a Compound Poisson INARCH model is proposed, based on the form of the probability generating function of the compounding distribution of the conditional law of the model. The normality of the test statistics' asymptotic distribution is established, either in the case where the model parameters are specified, or when such parameters are consistently estimated. As the test statistics law involves the moments of inverse conditional means of the Compound Poisson INARCH process, the analysis of their existence and calculation is performed by two approaches. A simulation study illustrating the finite-sample performance of this test methodology in what concerns its size and power concludes the paper.
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Institution:
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DMUC 17-04
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Online version:
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http://www.mat.uc.pt...prints/eng_2017.html
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Download:
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Not available
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