Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Specification Test based on Convolution-type Distribution Function
  Estimates for Non-linear Auto-regressive Processes   The paper proposes a specification test based on two estimates of
distribution function. One is the traditional kernel distribution function
estimate and the other is a newly proposed convolution-type distribution
function estimate. Asymptotic properties of the new estimate are studied when
the innovation density is known and when it is unknown. The MISE-type statistic
based on these estimates is suggested to test parametric specifications of the
mean and volatility functions. The relating asymptotic results are obtained and
the finite-sample properties are studied based on the bootstrap methodology. A
simulation study shows that the proposed test competes favorably to benchmark
tests in terms of the empirical level and power.

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The categories of this paper are: chao-dyn
11
The categories of this paper are: hep-lat
8
The categories of this paper are: hep-ex
9
The categories of this paper are: nlin
26
The categories of this paper are: bayes-an
3
The categories of this paper are: physics
32
The categories of this paper are: atom-ph
17
The categories of this paper are: q-fin
25
The categories of this paper are: patt-sol
0
The categories of this paper are: hep-ph
4
The categories of this paper are: cond-mat
1
The categories of this paper are: cs
23
The categories of this paper are: solv-int
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
13
The categories of this paper are: quant-ph