Diagnostic checking for conditional heteroscedasticity models

作     者：WU JianHong1,& ZHU LiXing2 1College of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou 310018,China 2Department of Mathematics,Hong Kong Baptist University,Kowloon Tong,Hong Kong,China 

作者机构：College of Statistics and Mathematics Zhejiang Gongshang University Hangzhou China Department of Mathematics Hong Kong Baptist University Kowloon Tong Hong Kong China 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2010年第53卷第10期

页      面：2773-2790页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the Research Grants Council of Hong Kong (Grant No.HKBU2030/07P) Wu Jianhong was also supported by National Natural Science Foundation of China (Grant No.11001238) Humanities and Social Sciences in Chinese University (Grant No.07JJD790154) Zhejiang Provincial Natural Science Foundation of China (Grant No.Y6090172) Science Fund for Young Scholars of Zhejiang Gongshang University,China (Grant No.Q09-12) 

主　　题：conditional heteroscedasticity model maximin test model checking score type test time series 

摘      要：We suggest the score type tests for goodness-of-fit of conditional heteroscedasticity models in both univariate and multivariate time *** tests can detect the alternatives converging to the null at a parametric *** functions are involved in the construction of the tests,which provides us with the flexibility to choose scores,especially under directional alternatives,for enhancing power ***,when the alternatives are not directional,we construct asymptotically distribution-free maximin tests for a large class of alternatives.A possibility to construct score-based omnibus tests is discussed when the alternative is *** power performance is also investigated.A simulation study is carried out and a real data is analyzed.