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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

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Identification Number: 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
Official URL:
Additional Information: © 2006 Elsevier
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > Economists Online
Date Deposited: 20 Apr 2011 10:12
Last Modified: 14 Dec 2011 14:37

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