Testing the equality of error distributions from \(k\) independent GARCH models

DOI10.1016/j.jmva.2008.11.006zbMath1159.62055arXiv0812.0838OpenAlexW1972350933MaRDI QIDQ1012539

S. Ajay Chandra

Publication date: 21 April 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.0838

zbMATH Keywords

bootstrapasymptotic normalitypowerWilcoxon testempirical processresidualsempirical sizevan der Waerden testlinear test statistics

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Asymptotic Efficiency of a Class of $c$-Sample Tests

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