http://dx.doi.org/10.1007/s11425-010-3152-2">
 

Document Type

Journal Article

Department/Unit

Department of Mathematics

Title

Diagnostic checking for conditional heteroscedasticity models

Language

English

Abstract

We suggest the score type tests for goodness-of-fit of conditional heteroscedasticity models in both univariate and multivariate time series. The tests can detect the alternatives converging to the null at a parametric rate. Weight functions are involved in the construction of the tests, which provides us with the flexibility to choose scores, especially under directional alternatives, for enhancing power performance. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. A simulation study is carried out and a real data is analyzed. © 2010 Science China Press and Springer-Verlag Berlin Heidelberg.

Keywords

conditional heteroscedasticity model, maximin test, model checking, score type test, time series

Publication Date

2010

Source Publication Title

Science China Mathematics

Volume

53

Issue

10

Start Page

2773

End Page

2790

Publisher

Springer-Verlag

ISSN (print)

16747283

ISSN (electronic)

18622763

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