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.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.