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A note on Portmanteau tests for conditional heteroscedastistic models

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  • Ben, Youhong
  • Jiang, Feiyu

Abstract

We derive the asymptotic distribution of autocorrelation of squared residuals for a wide class of conditional heteroscedastistic models when some parameters lie on the boundary. The limiting distribution of the portmanteau test statistic is no longer chi-square but taking a quadratic form of a normally distributed random variable which is projected onto a convex cone. Simulations are conducted and they reveal that using conventional chi-square asymptotics may lead to erroneous decisions due to size distortion when boundary parameters are present.

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  • Ben, Youhong & Jiang, Feiyu, 2020. "A note on Portmanteau tests for conditional heteroscedastistic models," Economics Letters, Elsevier, vol. 192(C).
    • Handle: RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257
    DOI: 10.1016/j.econlet.2020.109159
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Conditional heteroscedastistic models; GARCH; Portmanteau test; Non-standard asymptotics; Parameter on the boundary;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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