Title

Residual-Based Diagnostics for Conditional Heteroscedasticity Models

Publication Type

Journal Article

Publication Date

2002

Abstract

We examine the residual–based diagnostics for univariate and multivariate conditional heteroscedasticity models. The tests are based on the parameter estimates of an autoregression with the squared standardized residuals or the cross products of the standardized residuals as dependent variables. As the regression involves estimated regressors the standard distribution theories of the ordinary least squares estimates do not apply. We provide the asymptotic variance of the regression estimates. Diagnostic statistics, which are asymptotically distributed as ?[sup 2], are constructed. A Monte Carlo experiment is conducted to investigate the finite–sample properties of the residual–based tests for both univariate and multivariate models. The results show that the residual–based diagnostics provide useful checks for model adequacy in both univariate and multivariate cases.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometrics Journal

Volume

5

Issue

2

First Page

358

Last Page

373

ISSN

1368-4221

Publisher

Wiley

Additional URL

http://www.jstor.org/stable/23114899

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