Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

Leena Kalliovirta

Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

Tutkimustuotos: Kirja/raportti › Kirja › Tieteellinen › vertaisarvioitu

Abstrakti

We use GARCH and regime switching models to compare the reliability of recently
proposed misspecification tests. Our simulations indicate that simple moment based LM type tests are more reliable than other moment based tests or tests that employ the empirical distribution function or non-parametric methods.

Alkuperäiskieli	englanti

Julkaisupaikka	Helsinki
Kustantaja	Helsinki Center of Economic Research
Sivumäärä	10
Tila	Julkaistu - 10 joulukuuta 2010
OKM-julkaisutyyppi	C1 Kustannettu tieteellinen erillisteos

Julkaisusarja

Nimi	Discussion papers
Numero	309
ISSN (elektroninen)	1795-0562

Pääsy asiakirjaan

http://helda.helsinki.fi/bitstream/handle/10138/23893/comparis.pdf?sequence=1

Siteeraa tätä

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