70 citations · 207 across the 5 of their papers we have counts for
Showing 2006 · math.STShow all
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math.ST2006★ 64 cited
Fitting an error distribution in some heteroscedastic time series models
Hira L. Koul, Shiqing Ling
This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distrib…
math.ST2006★ 70 cited
Testing for a linear MA model against threshold MA models
Shiqing Ling, Howell Tong
This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic conv…