Selecting the order of an ARCH model

DOI10.1016/J.ECONLET.2003.05.003zbMath1254.91666OpenAlexW2018418957MaRDI QIDQ1927498

Kian Teng Kwek, Maxwell L. King, Anthony W. Hughes

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.05.003

zbMATH Keywords

model selectionone-sided AICinequality constrained maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (5)

Empirical likelihood based estimation for a class of functional coefficient ARCH-M models ⋮ Information criteria for nonlinear time series models ⋮ On the performance of information criteria for model identification of count time series ⋮ Model Selection When a Key Parameter is Constrained to be in an Interval ⋮ Empirical likelihood inference for functional coefficient ARCH-M model

Cites Work

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• Testing for GARCH effects: A one-sided approach
• Model selection using AIC in the presence of one-sided information
• Generalized autoregressive conditional heteroscedasticity
• Comments on testing economic theories and the use of model selection criteria
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• A multivariate analogue of the one-sided test

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