Francq, Christian and Zakoian, Jean-Michel (2008): Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.
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This article is concerned by testing the nullity of coefficients in GARCH models. The problem is non standard because the quasi-maximum likelihood estimator is subject to positivity constraints. The paper establishes the asymptotic null and local alternative distributions of Wald, score, and quasi-likelihood 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|
|Keywords:||Asymptotic efficiency of tests; Boundary; Chi-bar 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 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Christian Francq|
|Date Deposited:||10. Aug 2009 08:03|
|Last Modified:||12. Feb 2013 02:46|
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