MARC details
| 000 -LEADER |
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| fixed length control field |
01864nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240402142202.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240402b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Halunga Andreea G |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
First-order asymptotic theory for parametric misspecification tests of garch models |
| Statement of responsibility, etc. |
by Andreea G. Halunga and Chris D. Orme |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Economic theory |
| Volume/sequential designation |
Volume 25, number 2 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
This paper develops a framework for the construction and analysis of parametric misspecification tests for generalized autoregressive conditional heteroskedastic (GARCH) models, based on first-order asymptotic theory. The principal finding is that estimation effects from the correct specification of the conditional mean (regression) function can be asymptotically nonnegligible. This implies that certain procedures, such as the asymmetry tests of Engle and Ng (1993, Journal of Finance 48, 1749–1777) and the nonlinearity test of Lundbergh and Teräsvirta (2002, Journal of Econometrics 110, 417–435), are asymptotically invalid. A second contribution is the proposed use of alternative tests for asymmetry and/or nonlinearity that, it is conjectured, should enjoy improved power properties. A Monte Carlo study supports the principal theoretical findings and also suggests that the new tests have fairly good size and very good power properties when compared with the Engle and Ng (1993) and Lundbergh and Teräsvirta (2002) procedures. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Parametric misspecification tests |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Orme, Chris D. |
| Relator term |
co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
10.1017/S0266466608090129 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |