Testing for common conditionally heteroskedastic factors

DOI10.3982/ECTA10082MaRDI QIDQ5397571zbMATH OpenOpenAlexFDO

Authors Prosper Dovonon, Eric Renault

Publication date 24 February 2014

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta10082

zbMATH Keywords

common featuresfirst-order identificationGARCH factorsGMMGMM overidentification testidentificationnonstandard asymptotics

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(24)

• The asymptotic properties of GMM and indirect inference under second-order identification
• The effect of conditional heteroskedasticity on common statistical procedures for means and variances
• Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model
• Inference on functionals under first order degeneracy
• Testing identification strength
• Inference in second-order identified models
• On asymptotic size distortions in the random coefficients logit model
• Bootstrapping the GMM overidentification test under first-order underidentification
• Maximum likelihood estimation of stochastic frontier models with endogeneity
• On standard inference for GMM with local identification failure of known forms
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• A misspecification test for the higher order co-moments of the factor model
• Efficiency bounds for semiparametric models with singular score functions
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Dynamic conditional eigenvalue GARCH
• Finite underidentification
• Specification testing for conditional moment restrictions under local identification failure
• Bootstraps for dynamic panel threshold models
• Reprint of: Finite underidentification
• Editorial: Identification, inference and risk
• Identification robust inference for the risk premium in term structure models
• Score-type tests for normal mixtures
• Relevant moment selection under mixed identification strength
• On GMM inference: partial identification, identification strength, and nonstandard asymptotics

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