A goodness-of-fit test for ARCH(∞)(∞) models
Hidalgo, Javier; and Zaffaroni, Paolo
(2007)
A goodness-of-fit test for ARCH(∞)(∞) models
Journal of Econometrics, 141 (2).
pp. 835-875.
ISSN 0304-4076
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 |
|---|---|
| Keywords | GARCH models,model specification,bootstrap tests |
| Departments |
Economics STICERD |
| DOI | 10.1016/j.jeconom.2006.11.005 |
| Date Deposited | 20 Apr 2011 10:12 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35799 |