Adaptive testing in arch models

DOI10.1080/07474930008800466zbMATH Open0949.62032OpenAlexW2060816337MaRDI QIDQ4493477FDOQ4493477

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)

Cited In (3)

• 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.

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