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
Full text not available from this repository.
Identification Number: 10.1016/j.jeconom.2006.11.005
Abstract
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 |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-econom... |
| Additional Information: | © 2006 Elsevier |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C23 - Models with Panel Data |
| Date Deposited: | 20 Apr 2011 10:12 |
| Last Modified: | 11 Dec 2024 23:12 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35799 |
Actions (login required)
 |
View Item |
