On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models

被引：0
|
作者：
Lee, Taewook [1 ]
机构：
[1] Hankuk Univ Foreign Studies, Dept Stat, Gyeong Gi 449791, South Korea
来源：
ECONOMICS LETTERS | 2013年 / 119卷 / 01期
关键词：
Parameter change; Cusum test; Jarque-Bera test; Normality test; Threshold GARCH model; THRESHOLD; RESIDUALS;
D O I：
10.1016/j.econlet.2013.01.013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the Jarque-Bera (UB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions. (C) 2013 Elsevier B.V. All rights reserved.
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收藏
页码：50 / 54
页数：5
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