Testing for parameter constancy in GARCH(p,q) models

被引：50
|
作者：
Berkes, I
Horváth, L
Kokoszka, P
机构：
[1] Utah State Univ, Dept Math & Stat, Logan, UT 84322 USA
[2] Hungarian Acad Sci, A Renyi Inst Math, H-1364 Budapest, Hungary
[3] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2004年 / 70卷 / 04期
基金：
美国国家科学基金会;
关键词：
change in parameters; GARCH model; likelihood scores;
D O I：
10.1016/j.spl.2004.10.010
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We propose a test for a change in the parameters of a GARCH(p, q) model. The test is based on approximate likelihood scores and does not require the observations to have finite variance. We show that the test has asymptotically correct size under weak assumptions on model errors. (C) 2004 Published by Elsevier B.V.
引用
收藏
页码：263 / 273
页数：11
相关论文
共 50 条
12345