Testing for Common Conditionally Heteroskedastic Factors

DOI10.3982/ECTA10082zbMath1326.62224OpenAlexW2149213971MaRDI QIDQ5397571

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

identificationGMMnonstandard asymptoticscommon featuresGMM overidentification testfirst-order identificationGARCH factors

Mathematics Subject Classification ID

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

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