Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations

doi:10.1016/j.jeconom.2015.03.025

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	Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
	Chen, Min1,2 ; Zhu, Ke1
	2015-12-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	189 期号:2 页码:313-320
摘要	This 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.
关键词	ARCH-type model Heavy-tailed innovation LAD estimator Model diagnostics Sign-based portmanteau test
DOI	10.1016/j.jeconom.2015.03.025
语种	英语
资助项目	National 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研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000364613600007
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21179
专题	应用数学研究所国家数学与交叉科学中心
通讯作者	Zhu, Ke
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Capital Univ Econ & Business, Beijing, Peoples R China
推荐引用方式 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.