A goodness-of-fit test for ARCH(∞) models

被引：6
|
作者：
Hidalgo, Javier
Zaffaroni, Paolo
机构：
[1] Univ London London Sch Econ & Polit Sci, Dept Econ, London WC2A 2AE, England
[2] Univ London Imperial Coll Sci Technol & Med, Tanaka Business Sch, London SW7 2AZ, England
来源：
JOURNAL OF ECONOMETRICS | 2007年 / 141卷 / 02期
基金：
英国经济与社会研究理事会;
关键词：
GARCH models; model specification; bootstrap tests;
D O I：
10.1016/j.jeconom.2006.11.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A goodness-of-fit test in the class of conditional heteroscedastic time series models is examined. Due to the nonstandard limiting distribution of the test, we propose to bootstrap the test, showing its asymptotic validity. Moreover, we illustrate the finite sample performance of the test by a small Monte Carlo study. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：973 / 1013
页数：41
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