testing for the I in IGARCH
Posted: Wed Oct 31, 2012 10:08 am
Hi all.
I find hardly any literature on tests for integration in GARCH models. Specifically, I want to test if the assumption (a+b)=1 can be rejected in the GARCH(1,1) model
h(t) = c + a * u(t-1)**2 + b * h(t-1).
What I currently do is a simple LR test, i.e. -2.0*(%logl_restricted - %logl_unrestricted), which I assume to be asymtotically Chi**2(1) distributed under the null hypothesis. Has anybody any idea on some other test? Or on the validity and power of of my test?
Many thanks in advance for any comments.
Uli
I find hardly any literature on tests for integration in GARCH models. Specifically, I want to test if the assumption (a+b)=1 can be rejected in the GARCH(1,1) model
h(t) = c + a * u(t-1)**2 + b * h(t-1).
What I currently do is a simple LR test, i.e. -2.0*(%logl_restricted - %logl_unrestricted), which I assume to be asymtotically Chi**2(1) distributed under the null hypothesis. Has anybody any idea on some other test? Or on the validity and power of of my test?
Many thanks in advance for any comments.
Uli