Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
AbstractThis paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 50487.
Date of creation: 08 Oct 2013
Date of revision:
ARCH-type model; heavy-tailed innovation; LAD estimator; model diagnostics; sign-based portmanteau test;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- 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-2013-10-18 (All new papers)
- NEP-ECM-2013-10-18 (Econometrics)
- NEP-ETS-2013-10-18 (Econometric Time Series)
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