A score statistic for testing the presence of a stochastic trend in conditional variances

DOI10.1016/J.ECONLET.2022.110394MaRDI QIDQ2127331zbMATH OpenOpenAlexFDO

Authors Yongmiao Hong, Brendan McCabe, Jiajing Sun, Oliver Linton

Publication date 20 April 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110394

zbMATH Keywords

GARCHscore statisticstochastic trendunit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A functional central limit theorem for weakly dependent sequences of random variables
• ARCH models as diffusion approximations
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Analysis of financial time series
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Central limit theorems for additive functionals of Markov chains.
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression
• Trends and random walks in macroeconomic time series
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(1)

• Testing for significance in binary choice model with stochastic trend process

Describes a project that uses

Uses Software

• RiskMetrics

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