Francq, Christian and Zakoian, JeanMichel (2008): Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.

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Abstract
This article is concerned by testing the nullity of coefficients in GARCH models. The problem is non standard because the quasimaximum likelihood estimator is subject to positivity constraints. The paper establishes the asymptotic null and local alternative distributions of Wald, score, and quasilikelihood ratio tests. Efficiency comparisons under fixed alternatives are also considered. Two cases of special interest are: (i) tests of the null hypothesis of one coefficient equal to zero and (ii) tests of the null hypothesis of no conditional heteroscedasticity. Finally, the proposed approach is used in the analysis of a set of financial data and leads to reconsider the preeminence of GARCH(1,1) among GARCH models.
Item Type:  MPRA Paper 

Original Title:  Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons 
Language:  English 
Keywords:  Asymptotic efficiency of tests; Boundary; Chibar distribution; GARCH model; Quasi Maximum Likelihood Estimation; Local alternatives 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  16672 
Depositing User:  Christian Francq 
Date Deposited:  10 Aug 2009 08:03 
Last Modified:  26 Sep 2019 18:31 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/16672 