Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

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• 作者：Klaus Grobys (1)
  
  1. Department of Accounting and Finance ; University of Vaasa ; Wolffintie 34 ; 65200聽 ; Vaasa ; Finland
  
• 关键词：Asymmetric heteroskedasticity ; Serial correlation ; Wild bootstrap ; HCCME ; based LM test ; Simulation ; C15 ; C32
• 刊名：Empirical Economics
• 出版年：2015
• 出版时间：May 2015
• 年：2015
• 卷：48
• 期：3
• 页码：1189-1202
• 全文大小：174 KB
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• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921

文摘

This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped counterparts in the presence of asymmetric conditional heteroskedasticity. Thereby, asymmetric effects are allowed to enter the residual process of the dynamic regression model in both the GARCH parameterization and the innovation process. Monte Carlo evidence reported in this paper indicates that wild bootstrap versions of the LM test for serial correlation tend to overreject the null hypothesis, but the problem is generally not very serious.