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Joint and marginal specification tests for conditional mean and variance models

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  • Carlos Escanciano, J.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(07)00167-4
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 143 (2008)
Issue (Month): 1 (March)
Pages: 74-87

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Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:74-87
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1030-1051, December.
  2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
  3. repec:adr:anecst:y:2006:i:81:p:02 is not listed on IDEAS
  4. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
  5. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  6. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  7. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
  8. Escanciano, Juan Carlos, 2009. "Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models," Econometric Theory, Cambridge University Press, vol. 25(02), pages 561-570, April.
  9. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
  10. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
  11. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-269, July.
  12. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  13. Juan Carlos Escanciano, 2007. "Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications," Caepr Working Papers 2007-009, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  14. Blake, Andrew P. & Kapetanios, George, 2007. "Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean," Journal of Econometrics, Elsevier, vol. 137(2), pages 472-488, April.
  15. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  16. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  17. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
  18. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  19. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
  20. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
  21. Bera, Anil K & Higgins, Matthew L, 1997. "ARCH and Bilinearity as Competing Models for Nonlinear Dependence," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 43-50, January.
  22. Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra.
  23. Hong, Yongmiao & Lee, Tae-Hwy, 2003. "Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1065-1121, December.
  24. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  25. Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
  26. 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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Cited by:

  1. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
  2. Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
  3. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
  4. Leucht, Anne & Neumann, Michael H. & Kreiss, Jens-Peter, 2013. "A model specification test for GARCH(1,1) processes," Working Papers 13-11, University of Mannheim, Department of Economics.

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