Inference in GARCH when some coefficients are equal to zero
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
|Date of creation:||04 Jul 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
More information through EDIRC
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.:
- Lee, John H. H., 1991. "A Lagrange multiplier test for GARCH models," Economics Letters, Elsevier, vol. 37(3), pages 265-271, November.
- Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
- Drost, F.C. & Klaassen, C.A.J., 1996.
"Efficient Estimation in Semiparametric GARCH Models,"
1996-38, Tilburg University, Center for Economic Research.
- 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.
- Donald W.K. Andrews, 1999.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Cowles Foundation Discussion Papers
1229, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- 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.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001.
"Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects,"
Cahiers de recherche
2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
- 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.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
- Abdelhadi Akharif & Marc Hallin, 2003. "Efficient detection of random coefficients in autoregressive models," ULB Institutional Repository 2013/127956, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- 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.
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- Rogers, Alan J., 1986. "Modified lagrange multiplier tests for problems with one-sided alternatives," Journal of Econometrics, Elsevier, vol. 31(3), pages 341-361, April.
- Maxwell King & Ping Wu, 1997. "Locally optimal one-sided tests for multiparameter hypotheses," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 131-156.
- Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
- Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:64. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.