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

DOI10.1016/S0165-1765(00)00212-3MaRDI QIDQ1978761zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

asymmetriesBDS testEngle and Ng testsGARCH modelsmisspecification

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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

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

(5)

• Portmanteau model diagnostics and tests for nonlinearity: A comparative Monte Carlo study of two alternative methods
• Tests for time reversibility: a complementarity analysis
• Portmanteau test for the asymmetric power GARCH model when the power is unknown
• Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral

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