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Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Chen, Min1,2; Zhu, Ke1
2015-12-01
Source PublicationJOURNAL OF ECONOMETRICS
ISSN0304-4076
Volume189Issue:2Pages:313-320
AbstractThis paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test. (C) 2015 Elsevier B.V. All rights reserved.
KeywordARCH-type model Heavy-tailed innovation LAD estimator Model diagnostics Sign-based portmanteau test
DOI10.1016/j.jeconom.2015.03.025
Language英语
Funding ProjectNational Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161] ; National Natural Science Foundation of China[11371354] ; National Natural Science Foundation of China[11201459] ; AMSS, Chinese Academy of Sciences[2014-cjrwlzx-zk] ; Key Lab of Random Complex Structures and Data Science of Chinese Academy of Sciences
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS IDWOS:000364613600007
PublisherELSEVIER SCIENCE SA
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Cited Times:4[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/21179
Collection应用数学研究所
国家数学与交叉科学中心
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Capital Univ Econ & Business, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Chen, Min,Zhu, Ke. Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations[J]. JOURNAL OF ECONOMETRICS,2015,189(2):313-320.
APA Chen, Min,&Zhu, Ke.(2015).Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations.JOURNAL OF ECONOMETRICS,189(2),313-320.
MLA Chen, Min,et al."Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations".JOURNAL OF ECONOMETRICS 189.2(2015):313-320.
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