Original paper
A note on Portmanteau tests for conditional heteroscedastistic models
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...
Paper Details
Title
A note on Portmanteau tests for conditional heteroscedastistic models
Published Date
Jul 1, 2020
Journal
Volume
192
Pages
109159 - 109159
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Notes
History