A score statistic for testing the presence of a stochastic trend in conditional variances

Yongmiao Hong, Oliver Linton, Brendan McCabe and Jiajing Sun

Economics Letters, 2022, vol. 213, issue C

Abstract: This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

Keywords: GARCH; Unit root; Score statistic; Stochastic trend (search for similar items in EconPapers)
JEL-codes: C12 C5 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000660

DOI: 10.1016/j.econlet.2022.110394

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