A note on Portmanteau tests for conditional heteroscedastistic models

Youhong Ben and Feiyu Jiang

Economics Letters, 2020, vol. 192, issue C

Abstract: We derive the asymptotic distribution of autocorrelation of squared residuals for a wide class of conditional heteroscedastistic models when some parameters lie on the boundary. The limiting distribution of the portmanteau test statistic is no longer chi-square but taking a quadratic form of a normally distributed random variable which is projected onto a convex cone. Simulations are conducted and they reveal that using conventional chi-square asymptotics may lead to erroneous decisions due to size distortion when boundary parameters are present.

Keywords: Conditional heteroscedastistic models; GARCH; Portmanteau test; Non-standard asymptotics; Parameter on the boundary (search for similar items in EconPapers)
JEL-codes: C12 C22 C58 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257

DOI: 10.1016/j.econlet.2020.109159

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