A goodness-of-fit test for ARCH(∞)(∞) models
Hidalgo, J. & Zaffaroni, P.
(2007).
A goodness-of-fit test for ARCH(∞)(∞) models.
Journal of Econometrics,
141(2), 835-875.
https://doi.org/10.1016/j.jeconom.2006.11.005
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.
| Item Type | Article |
|---|---|
| Copyright holders | © 2006 Elsevier |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| DOI | 10.1016/j.jeconom.2006.11.005 |
| Date Deposited | 20 Apr 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35799 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/havier-hidalgo/home.aspx (Author)
- https://www.scopus.com/pages/publications/34848893897 (Scopus publication)
- http://www.journals.elsevier.com/journal-of-econom... (Official URL)