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

TitleSign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Authors
Chen, MinZhu, Ke
KeywordsModel diagnostics
Sign-based portmanteau test
LAD estimator
ARCH-type model
Heavy-tailed innovation
Issue Date2015
Citation
Journal of Econometrics, 2015, v. 189, n. 2, p. 313-320 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jeconom.2015.03.025
Abstract© 2015 Elsevier B.V.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.
Persistent Identifierhttp://hdl.handle.net/10722/231008
ISSN
0304-4076
2021 Impact Factor: 3.363
2020 SCImago Journal Rankings: 3.769
ISI Accession Number ID
WOS:000364613600007

 

DC FieldValueLanguage
dc.contributor.authorChen, Min-
dc.contributor.authorZhu, Ke-
dc.date.accessioned2016-09-01T06:07:22Z-
dc.date.available2016-09-01T06:07:22Z-
dc.date.issued2015-
dc.identifier.citationJournal of Econometrics, 2015, v. 189, n. 2, p. 313-320-
dc.identifier.issn0304-4076-
dc.identifier.urihttp://hdl.handle.net/10722/231008-
dc.description.abstract© 2015 Elsevier B.V.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.-
dc.languageeng-
dc.relation.ispartofJournal of Econometrics-
dc.subjectModel diagnostics-
dc.subjectSign-based portmanteau test-
dc.subjectLAD estimator-
dc.subjectARCH-type model-
dc.subjectHeavy-tailed innovation-
dc.titleSign-based portmanteau test for ARCH-type models with heavy-tailed innovations-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jeconom.2015.03.025-
dc.identifier.scopuseid_2-s2.0-84945463814-
dc.identifier.volume189-
dc.identifier.issue2-
dc.identifier.spage313-
dc.identifier.epage320-
dc.identifier.eissn1872-6895-
dc.identifier.isiWOS:000364613600007-
dc.identifier.issnl0304-4076-

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