This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Inference in GARCH when some coefficients are equal to zero

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Christian Francq (GREMARS University Lille 3)
Jean-Michel Zakoïan (GREMARS University Lille 3 and CREST)

Additional information is available for the following registered author(s):

Abstract

The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses, coincide with those made in the recent literature when the coefficients are positive. The QML estimator is shown to converge to its asymptotic distribution locally uniformly. Using these results, we consider the problem of testing that one or several GARCH coefficients are null. The null distribution and the local asymptotic powers of the Wald, score and quasi-likelihood ratio tests are derived. Asymptotic optimality issues are addressed. A set of numerical experiments illustrates the practical relevance of our theoretical results

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.org/sce2006/up.2253.1138793578.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 64.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 04 Jul 2006
Date of revision:
Handle: RePEc:sce:scecfa:64

Contact details of provider:
Email:
Web page: http://comp-econ.org/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Maxwell King & Ping Wu, 1997. "Locally optimal one-sided tests for multiparameter hypotheses," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 131-156. [Downloadable!] (restricted)
  2. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127. [Downloadable!] (restricted)
  3. Lee, John H H & King, Maxwell L, 1993. "A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 17-27, January.
  4. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  5. Peter Hall & Qiwei Yao, 2003. "Inference in Arch and Garch Models with Heavy--Tailed Errors," Econometrica, Econometric Society, vol. 71(1), pages 285-317, January. [Downloadable!] (restricted)
  6. Claudia Klüppelberg & Ross A. Maller & Mark van de Vyver & Derick Wee, 2002. "Testing for reduction to random walk in autoregressive conditional heteroskedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 387-416, 06. [Downloadable!] (restricted)
  7. Lee, John H. H., 1991. "A Lagrange multiplier test for GARCH models," Economics Letters, Elsevier, vol. 37(3), pages 265-271, November. [Downloadable!] (restricted)
  8. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
    Other versions:
  9. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  10. Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
  11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  12. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. HAFNER, Christian M. & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," CORE Discussion Papers 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.