Testing in GARCH-X Type Models

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Standard

Testing in GARCH-X Type Models. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

I: Econometric Theory, Bind 35, Nr. 5, 2019, s. 1012-1047.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Pedersen, RS & Rahbek, A 2019, 'Testing in GARCH-X Type Models', Econometric Theory, bind 35, nr. 5, s. 1012-1047. https://doi.org/10.1017/S026646661800035X

APA

Pedersen, R. S., & Rahbek, A. (2019). Testing in GARCH-X Type Models. Econometric Theory, 35(5), 1012-1047. https://doi.org/10.1017/S026646661800035X

Vancouver

Pedersen RS, Rahbek A. Testing in GARCH-X Type Models. Econometric Theory. 2019;35(5):1012-1047. https://doi.org/10.1017/S026646661800035X

Author

Pedersen, Rasmus Søndergaard ; Rahbek, Anders. / Testing in GARCH-X Type Models. I: Econometric Theory. 2019 ; Bind 35, Nr. 5. s. 1012-1047.

Bibtex

@article{9f904b75d8304d7489cea50ed7781b40,
title = "Testing in GARCH-X Type Models",
abstract = "We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a noticeable property of specific zero-entries in the inverse information of the GARCH-X type models. Specifically, we consider sequential testing based on two likelihood ratio tests and as demonstrated the structure of the inverse information implies that the proposed test neither depends on whether the nuisance parameters lie on the boundary of the parameter space, nor on lack of identification. Asymptotic theory is derived essentially under stationarity and ergodicity, coupled with a regularity assumption on the exogenous covariate X. Our general results on GARCH-X type models are applied to Gaussian based GARCH-X models, GARCH-X models with Student{\textquoteright}s t-distributed innovations as well as integer-valued GARCH-X (PAR-X) models.",
author = "Pedersen, {Rasmus S{\o}ndergaard} and Anders Rahbek",
year = "2019",
doi = "10.1017/S026646661800035X",
language = "English",
volume = "35",
pages = "1012--1047",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "5",

}

RIS

TY - JOUR

T1 - Testing in GARCH-X Type Models

AU - Pedersen, Rasmus Søndergaard

AU - Rahbek, Anders

PY - 2019

Y1 - 2019

N2 - We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a noticeable property of specific zero-entries in the inverse information of the GARCH-X type models. Specifically, we consider sequential testing based on two likelihood ratio tests and as demonstrated the structure of the inverse information implies that the proposed test neither depends on whether the nuisance parameters lie on the boundary of the parameter space, nor on lack of identification. Asymptotic theory is derived essentially under stationarity and ergodicity, coupled with a regularity assumption on the exogenous covariate X. Our general results on GARCH-X type models are applied to Gaussian based GARCH-X models, GARCH-X models with Student’s t-distributed innovations as well as integer-valued GARCH-X (PAR-X) models.

AB - We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a noticeable property of specific zero-entries in the inverse information of the GARCH-X type models. Specifically, we consider sequential testing based on two likelihood ratio tests and as demonstrated the structure of the inverse information implies that the proposed test neither depends on whether the nuisance parameters lie on the boundary of the parameter space, nor on lack of identification. Asymptotic theory is derived essentially under stationarity and ergodicity, coupled with a regularity assumption on the exogenous covariate X. Our general results on GARCH-X type models are applied to Gaussian based GARCH-X models, GARCH-X models with Student’s t-distributed innovations as well as integer-valued GARCH-X (PAR-X) models.

U2 - 10.1017/S026646661800035X

DO - 10.1017/S026646661800035X

M3 - Journal article

VL - 35

SP - 1012

EP - 1047

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 5

ER -

ID: 200352389