Juan Carlos Pardo-Fernández

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Several classical time series models can be written as a regression model of the form Y t = m(X t) + σ(X t)ε t , where (X t , Y t), t = 0, ±1, ±2,. . ., is a bivariate strictly stationary process. Some of those models, such as ARCH or GARCH models, share the property of proportionality of the regression function, m, and the scale function, σ. In this(More)
This article studies a new procedure to test for the equality of k regression curves in a fully nonparametric context. The test is based on the comparison of empirical estimators of the characteristic functions of the regression residuals in each population. The asymptotic behaviour of the test statistic is studied in detail. It is shown that under the null(More)
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