Estimation and testing for the parameters of ARCH(q) under ordered restriction

DOI10.1111/j.1467-9892.2004.01763.xzbMath1062.62207OpenAlexW1966471264MaRDI QIDQ4677026

De-Hui Wang, Lixin Song, Ning-Zhong Shi

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01763.x

zbMATH Keywords

likelihood ratio testmaximum likelihood estimatorquadratic program

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30)

Related Items (1)

Estimation and testing for a Poisson autoregressive model

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• One‐sided testing for conditional heteroskedasticity in time series models

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