| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9583
|
| DP9583 Residual-based Rank Specification Tests for AR-GARCH type models |
| Elena Andreou
|
| 发表日期 | 2013-08-04
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For these tests we show that, generally, no size correction is needed in the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise, we give exact expressions for the limiting null distribution
of the test statistics applied to residuals, and find that standard critical values often lead to conservative tests. For this result, we give simple sufficient conditions. Simulations show that our asymptotic approximations work well for a large number of AR-GARCH models and parameter values. We also show that the rank-based tests often, though not always, have superior power properties over the classical tests, even if they are conservative. We thereby provide a useful extension to the econometrician's toolkit. An empirical application illustrates the relevance of these tests to the AR-GARCH models for the weekly stock market return indices of some major and emerging countries. |
| 主题 | Financial Economics
|
| 关键词 | Parameter constancy
Conditional heteroskedasticity
Linear and quadratic residual autocorrelation tests
Model misspecification test
Nonlinear time series
Residual symmetry tests
|
| URL | https://cepr.org/publications/dp9583
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538418
|
推荐引用方式
GB/T 7714 |
Elena Andreou. DP9583 Residual-based Rank Specification Tests for AR-GARCH type models. 2013.
|
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