Title

A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

Publication Type

Journal Article

Publication Date

1999

Abstract

In this paper we consider several tests for model misspecification after a multivariate conditional heteroscedasticity model has been fitted. We examine the performance of the recent test due to Ling and Li (J. Time Ser. Anal. 18 (1997), 447–64), the Box–Pierce test and the residual-based F test using Monte Carlo methods. We find that there are situations in which the Ling–Li test has very weak power. The residual-based diagnostics demonstrate significant under-rejection under the null. In contrast, the Box–Pierce test based on the cross-products of the standardized residuals often provides a useful diagnostic that has reliable empirical size as well as good power against the alternatives considered.

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Time Series Analysis

Volume

20

Issue

6

First Page

679

Last Page

691

ISSN

0143-9782

Publisher

Wiley

Additional URL

http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=10453122&site=ehost-live

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