Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

Leena Kalliovirta

Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

Forskningsoutput: Bok/rapport › Bok › Vetenskaplig › Peer review

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.

Originalspråk	engelska

Utgivningsort	Helsinki
Förlag	Helsinki Center of Economic Research
Antal sidor	10
Status	Publicerad - 10 dec 2010
MoE-publikationstyp	C1 Separata vetenskapliga böcker

Publikationsserier

Namn	Discussion papers
Nr.	309
ISSN (elektroniskt)	1795-0562

Åtkomst av dokument

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

Citera det här

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