Inference in GARCH when some coefficients are equal to zero

Christian Francq and Jean-Michel Zakoïan
Additional contact information
Jean-Michel Zakoïan: GREMARS University Lille 3 and CREST
Authors registered in the RePEc Author Service: Jean-Michel Zakoian

No 64, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses, coincide with those made in the recent literature when the coefficients are positive. The QML estimator is shown to converge to its asymptotic distribution locally uniformly. Using these results, we consider the problem of testing that one or several GARCH coefficients are null. The null distribution and the local asymptotic powers of the Wald, score and quasi-likelihood ratio tests are derived. Asymptotic optimality issues are addressed. A set of numerical experiments illustrates the practical relevance of our theoretical results

JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://repec.org/sce2006/up.2253.1138793578.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:64

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().