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Article: Testing for threshold moving average with conditional heteroscedasticity

TitleTesting for threshold moving average with conditional heteroscedasticity
Authors
KeywordsConditional heteroscedasticity
Gaussian process
Likelihood ratio test
MA-GARCH model
Threshold MA-GARCH model
Issue Date2008
PublisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/
Citation
Statistica Sinica, 2008, v. 18 n. 2, p. 647-665 How to Cite?
AbstractThe recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with i.i.d. errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since the techniques developed for TMA models heavily depend on the property of p-dependence that is no longer satisfied by the time series models with conditional heteroscedasticity. The new test statistic is shown to converge weakly to a functional of a centered Gaussian process under the null hypothesis of no threshold, and it is also proved that the test has nontrivial asymptotic power under local alternatives. Monte Carlo experiments demonstrate the necessity of our test when a moving average time series has a time varying conditional variance. As further support, two data examples are reported.
Persistent Identifierhttp://hdl.handle.net/10722/57165
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLi, Gen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-04-12T01:27:59Z-
dc.date.available2010-04-12T01:27:59Z-
dc.date.issued2008en_HK
dc.identifier.citationStatistica Sinica, 2008, v. 18 n. 2, p. 647-665en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/57165-
dc.description.abstractThe recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with i.i.d. errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since the techniques developed for TMA models heavily depend on the property of p-dependence that is no longer satisfied by the time series models with conditional heteroscedasticity. The new test statistic is shown to converge weakly to a functional of a centered Gaussian process under the null hypothesis of no threshold, and it is also proved that the test has nontrivial asymptotic power under local alternatives. Monte Carlo experiments demonstrate the necessity of our test when a moving average time series has a time varying conditional variance. As further support, two data examples are reported.en_HK
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectConditional heteroscedasticityen_HK
dc.subjectGaussian processen_HK
dc.subjectLikelihood ratio testen_HK
dc.subjectMA-GARCH modelen_HK
dc.subjectThreshold MA-GARCH modelen_HK
dc.titleTesting for threshold moving average with conditional heteroscedasticityen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=18&issue=2&spage=647&epage=665&date=2008&atitle=Testing+for+threshold+moving+average+with+conditional+heteroscedasticityen_HK
dc.identifier.emailLi, G: gdli@hku.hken_HK
dc.identifier.emailWai, KL: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, G=rp00738en_HK
dc.identifier.authorityWai, KL=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-47849123492en_HK
dc.identifier.hkuros148278-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-47849123492&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume18en_HK
dc.identifier.issue2en_HK
dc.identifier.spage647en_HK
dc.identifier.epage665en_HK
dc.identifier.isiWOS:000255885400015-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridLi, G=52563850500en_HK
dc.identifier.scopusauthoridWai, KL=14015971200en_HK

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