Adaptive testing in arch models

DOI10.1080/07474930008800466MaRDI QIDQ4493477zbMATH OpenOpenAlexFDO

Authors Oliver Linton, Douglas G. Steigerwald

Publication date 20 November 2000

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d11/d1105.pdf

zbMATH Keywords

conditional heteroskedasticitysemiparametricadaptive testingARCH

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
• Specification tests for the error distribution in GARCH models
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Adaptive long memory testing under heteroskedasticity
• Specification testing in nonparametric AR‐ARCH models

Cited in

(5)

• A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
• Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
• New testing approaches for mean-variance predictability
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets

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