Data-driven score test of fit for conditional distribution in the GARCH(1,1) model

MaRDI QIDQ5756841zbMATH OpenFDO

Authors T. Inglot, Bartosz Stawiarski

Publication date 5 September 2007

zbMATH Keywords

BIC Schwarz selection rulecentral limit theoremefficient score vectorergodic theoremmartingale difference arrayMonte Carlo simulationsnoise distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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(3)

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• Bootstrap specification tests for dynamic conditional distribution models
• Score test of fit for composite hypothesis in the GARCH\((1,1)\) model

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