Specification tests for autoregressive conditional heteroskedastic models with applications to exchange rates of Asian countries

The White information matrix (IM) test is applied to the linear regression model with autoregressive conditional heteroskedastic (ARCH) errors. ARCH models are used widely in analyzing economic and financial time series data. However, in practice, the models are not often thoroughly tested. We derived some tests for these models using the IM test principle. It is found that these tests turned out to be equivalent to checking whether kurtosis is changing over time, i.e to test for heterokurtosity.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Zuo, Xiao-Lei

Contributors dc:contributor

• Bera, Anil K.

• Mathematics
• Statistics
• Economics, General
• Economics, Finance

Statement dc:rights

• Copyright 1992 Zuo, Xiao-Lei

Language dc:language

eng

Identifier

AAI9305751
(UMI)AAI9305751

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/21713