Score test of fit for composite hypothesis in the GARCH\((1,1)\) model

DOI10.1016/J.JSPI.2008.04.033zbMath1375.62004OpenAlexW1555448098MaRDI QIDQ958816

Bartosz Stawiarski

Publication date: 8 December 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.04.033

zbMATH Keywords

Monte Carlo simulationscentral limit theoremconditional distributionmartingale difference arrayGARCH(1,1) modeldata-driven test of fitefficient score vectorGED familysquare-root consistent estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Time series analysis of dynamical systems (37M10)

Related Items (1)

Bootstrap specification tests for dynamic conditional distribution models

Cites Work

• Unconditional and conditional distributional models for the Nikkei index
• Data driven smooth tests for composite hypotheses
• Generalized autoregressive conditional heteroscedasticity
• Central limit theorems revisited
• Fitting an error distribution in some heteroscedastic time series models
• THE GARCH OPTION PRICING MODEL
• Asymptotic Statistics
• Data-Driven Version of Neyman's Smooth Test of Fit
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Goodness-of-fit tests for dependent data
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Score test of fit for composite hypothesis in the GARCH\((1,1)\) model