Diagnostic checking for conditional heteroscedasticity models

Jian Hong Wu, Lixing ZHU

Research output: Contribution to journalJournal articlepeer-review

1 Citation (Scopus)

Abstract

We suggest the score type tests for goodness-of-fit of conditional heteroscedasticity models in both univariate and multivariate time series. The tests can detect the alternatives converging to the null at a parametric rate. Weight functions are involved in the construction of the tests, which provides us with the flexibility to choose scores, especially under directional alternatives, for enhancing power performance. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. A simulation study is carried out and a real data is analyzed.

Original languageEnglish
Pages (from-to)2773-2790
Number of pages18
JournalScience China Mathematics
Volume53
Issue number10
DOIs
Publication statusPublished - 2010

Scopus Subject Areas

  • Mathematics(all)

User-Defined Keywords

  • conditional heteroscedasticity model
  • maximin test
  • model checking
  • score type test
  • time series

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