Hausman tests for the error distribution in conditionally heteroskedastic models

Ke Zhu ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes some novel Hausman tests to examine the error distribution in conditionally heteroskedastic models. Unlike the existing tests, all Hausman tests are easy-to-implement with the limiting null distribution of $\chi^{2}$, and moreover, they are consistent and able to detect the local alternative of order n−1=2. The scope of the Hausman test covers all Generalized error distributions and Student’s t distributions. The performance of each Hausman test is assessed by simulated and real data sets.

Keywords: Conditionally heteroskedastic model; Consistent test; GARCH model; Goodness-of-fit test; Hausman test; Nonlinear time series. (search for similar items in EconPapers)
JEL-codes: C1 C12 (search for similar items in EconPapers)
Date: 2015-09-30
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:66991

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