Testing for Serial Correlation in the Presence of Conditional Heteroskedasticity PDF Download
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Author: Paramsothy Silvapulle
Publisher:
ISBN: 9780858169302
Category : Autoregression (Statistics)
Languages : en
Pages : 0
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Author: Paramsothy Silvapulle
Publisher:
ISBN: 9780858169302
Category : Autoregression (Statistics)
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Paramsothy Silvapulle
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Author: Klaus Grobys
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped counterparts in the presence of asymmetric conditional heteroskedasticity. Thereby, asymmetric effects are allowed to enter the residual process of the dynamic regression model in both the GARCH parameterization and the innovation process. Monte Carlo evidence reported in this paper indicates that wild bootstrap versions of the LM test for serial correlation tend to overreject the null hypothesis, but the problem is generally not very serious.
Author: Paramsothy Silvapulle
Publisher:
ISBN: 9780732607883
Category : Regression analysis
Languages : en
Pages : 35
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Book Description
Author: A. Stan Hurn
Publisher:
ISBN:
Category : Correlation (Statistics)
Languages : en
Pages : 15
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Author: John P. Small
Publisher:
ISBN:
Category : Correlation (Statistics)
Languages : en
Pages : 36
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Author: Binbin Guo
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper addresses the problem of testing for AR(1) and AR(p) alternatives in the presence of conditional heteroskedasticity, constructs new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test is shown to be robust to any form of conditional heteroskedasticity, while the gl test is robust to the joint presence of conditional heteroskedasticity and lagged dependent variables. The paper also develops a GLS-type unit root test that allows for conditional heteroskedasticity. Its limit distribution turns out to be a convex mixture of the Dickey-Fuller distribution and the standard normal distribution. It is shown that the GLS statistic improves the power of the Dickey-Fuller test under condictional heteroskedasticity. Some Monte Carlo simulations with the new tests are reported.
Author: Param Silvapulle
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Steven Durlauf
Publisher: Springer
ISBN: 0230280838
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author: Francis X. Diebold
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 38
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