Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

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Sammanfattning

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.
Originalspråkengelska
UtgivningsortHelsinki
FörlagHelsinki Center of Economic Research
Antal sidor10
StatusPublicerad - 10 dec 2010
MoE-publikationstypC1 Separata vetenskapliga böcker

Publikationsserier

NamnDiscussion papers
Nr.309
ISSN (elektroniskt)1795-0562

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