Residual-Based Diagnostics for Conditional Heteroscedasticity Models

Residual-Based Diagnostics for Conditional Heteroscedasticity Models

We examine the residual–based diagnostics for univariate and multivariate conditional heteroscedasticity models. The tests are based on the parameter estimates of an autoregression with the squared standardized residuals or the cross products of the standardized residuals as dependent variables. As...

Full description

Saved in:
Bibliographic Details
Main Author: TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
Conditional heteroscedasticity
Lagrange multiplier test
Monte Carlo experiment
Portmanteau statistic
Residual-based diagnostic
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/498
https://ink.library.smu.edu.sg/context/soe_research/article/1497/viewcontent/Tse_Residualbaseddiagnosticsconditional_2002_pv.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/498
https://ink.library.smu.edu.sg/context/soe_research/article/1497/viewcontent/Tse_Residualbaseddiagnosticsconditional_2002_pv.pdf

Similar Items