LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS

Lajos Horvath and Piotr Kokoszka

Econometric Theory, 2001, vol. 17, issue 2, 283-295

Abstract: We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH(p) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:02:p:283-295_17

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