A model specification test for GARCH(1,1) processes
AbstractWe provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.
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Bibliographic InfoPaper provided by University of Mannheim, Department of Economics in its series Working Papers with number 13-11.
Date of creation: 2013
Date of revision:
Bootstrap ; Cramér-von Mises test ; GARCH processes ; V-statistic;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-06 (All new papers)
- NEP-ECM-2013-12-06 (Econometrics)
- NEP-ETS-2013-12-06 (Econometric Time Series)
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