Testing for linear autoregressive dynamics under heteroskedasticity

DOI10.1111/1368-423X.00045MaRDI QIDQ2707870zbMATH OpenFDO

Authors Christian M. Hafner, Helmut Herwartz

Publication date 4 April 2001

Published in The Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423X.00045

zbMATH Keywords

autoregressionbootstrapGARCHheteroskedasticitystochastic volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(18)

• Deciding between GARCH and stochastic volatility via strong decision rules
• Simple approximations for option pricing under mean reversion and stochastic volatility
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
• New testing approaches for mean-variance predictability
• Weekday dependence of German stock market returns
• A comparison of statistical tests for the adequacy of a neural network regression model
• Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
• Bootstrapping Autoregression under Non-stationary Volatility
• Robustness of residual-based bootstrap to the composition of serially correlated errors
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
• A test of homogeneity for autoregressive processes
• ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
• A simple test for the consistency of dynamic linear regression in rational distributed lag models

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