One-sided testing for conditional heteroskedasticity in time series models

Journal of Time Series Analysis

Volumn 18, Issue 3, 1997, Pages 253-277

  Hong, Yongmiao ^a  

^a NONE

Author keywords

ARCH; Frequency domain analysis; One sided testing for multiparameter hypotheses; Weighting

Indexed keywords

EID: 0141800643     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00049     Document Type: Article

References (44)

1. ANDREWS, D. W. K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
2. BAILLIE, R. and BOLLERSLEV, T. (1994) The long memory of the forward premium. Manuscript, Department of Finance, J. L. Kellogg Graduate School of Management, Northwestern University.
3. _, _ and MIKKELSEN, H. (1993) Fractionally integrated generalized autoregressive conditional heteroskedasticity. Manuscript, Department of Finance, J. L. Kellogg Graduate School of Management, Northwestern University.
4. BELTRÀO, K. and BLOOMFIELD, P. (1987) Determining the bandwidth of a kernel spectrum estimate. J. Time Ser. Anal. 8, 21-38.
5. BERA, A. K. and HIGGINS, M. L. (1992) A test for conditional heterskedasticity in time series models. J. Time Ser. Anal. 13, 501-19.
6. _ and _ (1993) ARCH models: properties, estimation and testing. J. Econ. Surv. 7, 305-66.
7. BOLLERSLEV, T. (1986) A generalized autoregressive conditional heteroskedasticity. J. Econometrics 31, 307-27.
8. _, CHOU, R. Y. and KRONER, K. F. (1992) ARCH modeling in finance. J. Econometrics 52, 5-59.
9. _, ENGLE, R. F. and NELSON, D. B. (1994) ARCH models. In Handbook of Econometrics, Vol. IV (eds R. F. Engle and D. L. McFadden). Amsterdam: Elsevier Science.
10. BOX, G. E. P. and PIERCE, D. A. (1970) Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. J. Am. Stat. Assoc. 65, 1509-26.
11. BROWN, B. M. (1971) Martingale central limit theorems. Ann. Math. Stat. 42, 59-66.
12. DIEBOLD, F. X. (1987) Testing for serial correlation in the presence of ARCH. Proc. Am. Stat. Assoc. Bus. Econ. Stat. Sect. 323-28.
13. DROST, F. C. and NIJMAN, T. E. (1993) Temporal aggregation of GARCH processes. Econometrica 61, 909-27.
14. ENGLE, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.
15. _ and BOLLERSLEV, T. (1986) Modeling the persistence of conditional variances. Econometric Rev. 5, 1-50, 81-87.
16. _ and SUSMEL, R. (1993) Common volatility in international equity markets. J. Bus. Econ. Stat. 11, 167-76.
17. _, HENDRY, D. F. and TRUMBLE, D. (1985) Small-sample properties of ARCH estimators and tests. Can. J. Econ. 18, 67-93.
18. GRANGER, C. W. J. (1969) Investigating causal relations by econometric models and cross spectral methods. Econometrica 37, 424-38.
19. _ and TERASVIRTA, T. (1993) Modelling Nonlinear Economic Relationships. New York: Oxford University Press.
20. GREGORY, A. W. (1989) A nonparametric test for autoregressive conditional heteroskedasticity: a Markov-chain approach. J. Bus. Econ. Stat. 7, 107-15.
21. HANNAN, E. (1970) Multiple Time Series. New York: Wiley.
22. HIGGINS, M. L. and BERA, A. K. (1992) A class of nonlinear ARCH models. Int. Econ. Rev. 33, 137-58.
23. HONG, Y. (1996) Consistent testing for serial correlation of unknown form. Econometrica, 64, 837-64.
24. _ and Shehadeh, R. D. (1997) A new test for ARCH effects and its finite sample performance. Manuscript. Department of Economics, Cornell University
25. HURVICH, M. C. (1985) Data-driven choice of a spectrum estimate: extending the applicability of cross-validation methods. J. Am. Stat. Assoc. 80, 933-40.
26. LEE, J. H. H. (1991) A Lagrange multiplier test for GARCH models. Econ. Lett. 37, 265-71.
27. _ and KING, M. L. (1993) A locally most mean powerful based score test for ARCH and GARCH regression disturbances. J. Bus. Econ. Stat. 11, 17-27.
28. LJUNG, G. M. and BOX, G. E. P. (1978) On a measure of lack of fit in time series models. Biometrika 65, 297-30.
29. MCLEOD, A. I. and LI, W. K. (1983) Diagnostic checking ARMA time series models using squared residual autocorrelations. J. Time Ser. Anal. 4, 269-73.
30. MILHOJ, A. (1985) The moment structure of ARCH processes. Scand. J. Stat. 12, 281-92.
31. NELSON, D. (1991) Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347-70.
32. _ and CAO, C. Q. (1992) Inequality constraints in the univariate GARCH model. J. Bus. Econ. Stat. 10, 229-35.
33. NEWEY, W. and WEST, K. (1994) Automatic lag selection in covariance matrix estimation. Rev. Econ. Stud. 61, 631-53.
34. PITMAN, E. (1979) Some Basic Theory for Statistical Inference. London: Chapman and Hall.
35. PRIESTLEY, M. B. (1962) Basic considerations in the estimation of spectra. Technometrics 4, 551-64.
36. ROBINSON, P. M. (1991a) Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. J. Econometrics 47, 67-84.
37. _ (1991b) Automatic frequency domain inference on semiparametric and nonparametric models. Econometrica 59, 1329-64.
38. _ (1994) Time series with strong dependence. In Advances in Econometrics, Sixth World Congress, Vol. 1 (ed. C. Sims). Cambridge: Cambridge University Press, pp. 47-95.
39. SENGUPTA, A. and VERMEIRE, L. (1986) Locally optimal tests for multiparameter hypotheses. J. Am. Stat. Assoc. 81, 819-25.
40. SENTANA, E. (1995) Quadratic ARCH models. Rev. Econ. Stud. 62, 639-61.
41. TAYLOR, S. (1984) Modelling Financial Time Series. New York: Wiley.
42. WAHBA, G. and WOLD, S. (1975) Periodic splines for spectral density estimation: the use of cross-validation for determining the degree of smoothing. Commun. Stat. 4, 125-41.
43. WEISS, A. (1984) ARMA models with ARCH errors. J. Time Ser. Anal. 5, 129-43.
44. _ (1986) Asymptotic theory for ARCH models: estimation and testing. Econometric Theory 20, 107-31.