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1998-11-01Buch DOI: 10.18452/3682
Testing for Linear Autoregressive Dynamics under Heteroskedasticity
dc.contributor.authorHafner, Christian M.
dc.contributor.authorHerwartz, Helmut
dc.date.accessioned2017-06-15T21:47:08Z
dc.date.available2017-06-15T21:47:08Z
dc.date.created2006-01-13
dc.date.issued1998-11-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4334
dc.description.abstractOne puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an autoregressive model, for which there is little economic foundation. One may ask whether the underlying process does in fact contain an autoregressive component. It is therefore of interest to have a statistical test at hand that performs well under the stylized facts of financial returns. In this paper, we investigate empirical properties of competing devices to test for autoregressive dynamics in case of heteroskedastic errors. For the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference for the autoregressive parameter is negatively affected by misspecification of the volatility process. We show that bootstrapped versions of a likelihood ratio and White’s t-statistic have better size properties and comparable power properties. Applied to German stock data, the alternative tests in many cases yield very different p-values.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectautoregressioneng
dc.subjectheteroskedasticityeng
dc.subjectGARCHeng
dc.subjectbootstrapeng
dc.subjectstochastic volatilityeng
dc.subject.ddc330 Wirtschaft
dc.titleTesting for Linear Autoregressive Dynamics under Heteroskedasticity
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056049
dc.identifier.doihttp://dx.doi.org/10.18452/3682
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages23
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue7
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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