KMS Of Academy of mathematics and systems sciences, CAS
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. |
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