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Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity

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  • Christian M. Hafner
  • Helmut Herwartz

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  • Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323.
  • Handle: RePEc:bla:stanee:v:63:y:2009:i:3:p:294-323
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    References listed on IDEAS

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    1. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 26-54.
    2. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-186, January.
    3. Nicholls, D F & Pagan, A R, 1983. "Heteroscedasticity in Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 51(4), pages 1233-1242, July.
    4. Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September.
    5. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
    6. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June.
    7. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    8. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    9. Hafner, Christian M. & Herwartz, Helmut, 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers 2003,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    10. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
    11. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    12. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    13. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    14. Herwartz, Helmut & Neumann, Michael H., 2005. "Bootstrap inference in systems of single equation error correction models," Journal of Econometrics, Elsevier, vol. 128(1), pages 165-193, September.
    15. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
    16. Kyriazidou, Ekaterini, 1998. "Testing for serial correlation in multivariate regression models," Journal of Econometrics, Elsevier, vol. 86(2), pages 193-220, June.
    17. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February.
    18. Christian M. Hafner & Helmut Herwartz, 2000. "Testing for linear autoregressive dynamics under heteroskedasticity," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 177-197.
    19. Arak, Marcelle & Kreicher, Lawrence, 1985. "The Real Rate of Interest: Inferences from the New U.K. Indexed Gilts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 399-408, June.
    20. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 219-239, March.
    21. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    22. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    23. Ke-Li Xu, 2008. "Bootstrapping Autoregression under Non-stationary Volatility," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 1-26, March.
    24. Whang, Yoon-Jae, 1998. "A Test Of Autocorrelation In The Presence Of Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 14(01), pages 87-122, February.
    25. Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2006. "Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness," Journal of Econometrics, Elsevier, vol. 133(2), pages 841-862, August.
    26. Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2002. "Testing For Zero Autocorrelation In The Presence Of Statistical Dependence," Econometric Theory, Cambridge University Press, vol. 18(03), pages 730-743, June.
    27. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Citations

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    Cited by:

    1. Helmut Herwartz & Helmut Lütkepohl, 2011. "Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 281-291, May.
    2. Kim, Jae H., 2014. "Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative," Economic Modelling, Elsevier, vol. 41(C), pages 267-273.
    3. Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
    4. Shamsuddin, Abul & Kim, Jae H., 2015. "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, vol. 136(C), pages 129-132.
    5. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
    6. Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
    7. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
    8. Herwartz Helmut & Roestel Jan, 2009. "Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-25, September.
    9. repec:ipg:wpaper:2013-035 is not listed on IDEAS
    10. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
    11. repec:ipg:wpaper:35 is not listed on IDEAS
    12. Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige, 2017. "SenSR: A sentiment-based systemic risk indicator," DNB Working Papers 553, Netherlands Central Bank, Research Department.
    13. repec:eee:riibaf:v:42:y:2017:i:c:p:124-148 is not listed on IDEAS
    14. Stigler, Mathieu & Shah, Ajay & Patnaik, Ila, 2010. "Understanding the ADR premium under market segmentation," Working Papers 10/71, National Institute of Public Finance and Policy.
    15. repec:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0 is not listed on IDEAS
    16. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.

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