A goodness-of-fit test for GARCH innovation density

DOI10.1007/S00184-010-0318-4MaRDI QIDQ434239zbMATH OpenOpenAlexFDO

Authors Nao Mimoto, Hira L. Koul

Publication date 10 July 2012

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-010-0318-4

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• Specification tests for the error distribution in GARCH models
• Fitting an error distribution in some heteroscedastic time series models
• High moment partial sum processes of residuals in GARCH models and their applications

Cites work

• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
• Asymptotic properties in ARCH(p)-time series
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• GARCH processes: structure and estimation
• On some global measures of the deviations of density function estimates
• On the Bickel-Rosenblatt test for first-order autoregressive models
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS

Cited in

(13)

• Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
• Asymptotics for GARCH squared residual correlations
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
• Comparison of specification tests for GARCH models
• On the empirical characteristic function process of the residuals in GARCH models and applications
• Goodness-of-fit testing of error distribution in linear measurement error models
• A weighted goodness-of-fit test for GARCH(1,1) specification
• Tests for time series of counts based on the probability-generating function
• An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model
• Bootstrap specification tests for dynamic conditional distribution models
• High moment partial sum processes of residuals in GARCH models and their applications
• Fitting an error distribution in some heteroscedastic time series models

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