Separated hypotheses testing for autoregressive models with non-negative residuals
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DOI: 10.1080/00949655.2016.1222613
Abstract: ABSTRACT Normal residual is one of the usual assumptions in autoregressive model but sometimes in practice we are faced with non-negative residuals. In this paper, we have derived modified maximum likelihood estimators of parameters of… read more here.
Keywords: negative residuals; vuong test; non negative; competing models ... See more keywords