Coefficient constancy test in AR-ARCH models
In this article, we consider the problem of testing the coefficient constancy in the AR-ARCH model: yt=([phi]+bt)yt-1+[var epsilon]t, where [var epsilon]t=[eta]t-1[xi]t, [eta]t-1=([alpha]0+[alpha]1[var epsilon]t-12)1/2 and [xi]t are iid r.v.'s. Under the assumption that bt and [xi]t are Gaussian, a locally best invariant test is provided for testing whether bt are identically zero or not. Since the exact distribution of the test statistic is hard to obtain, its limiting distribution is investigated. It is shown that the test statistic depends upon the parameter estimators and is asymptotically normal under the null hypothesis.
Volume (Year): 57 (2002)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- Lumsdaine, Robin L, 1996. "Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica, Econometric Society, vol. 64(3), pages 575-96, May.
- Tanaka, Katsuto, 1983. "Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients," Econometrica, Econometric Society, vol. 51(5), pages 1577-82, September.
- Conlisk, John, 1976. "A Further Note on Stability in a Random Coefficient Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(3), pages 759-64, October.
- McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.
- Ramanathan, R. V. & Rajarshi, M. B., 1994. "Rank tests for testing the randomness of autoregressive coefficients," Statistics & Probability Letters, Elsevier, vol. 21(2), pages 115-120, September.
- Conlisk, John, 1974. "Stability in a Random Coefficient Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(2), pages 529-33, June.
- Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(01), pages 29-52, March.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:57:y:2002:i:1:p:65-77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.