Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models

DOI10.1016/S0165-1765(00)00212-3zbMATH Open0951.91062OpenAlexW1491193538WikidataQ58168593 ScholiaQ58168593MaRDI QIDQ1978761FDOQ1978761

Authors: Yanyan Li 

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00212-3

Recommendations

• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• Portmanteau model diagnostics and tests for nonlinearity: A comparative Monte Carlo study of two alternative methods
• Specification tests for nonlinear dynamic models
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• Diagnostic checking for the adequacy of nonlinear time series models

zbMATH Keywords

GARCH modelsmisspecificationasymmetriesBDS testEngle and Ng tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A test for independence based on the correlation dimension
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

Cited In (4)

• Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
• Portmanteau test for the asymmetric power GARCH model when the power is unknown
• Tests for time reversibility: a complementarity analysis
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral

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