A score statistic for testing the presence of a stochastic trend in conditional variances

Yongmiao Hong; Oliver Linton; Brendan McCabe; Jiajing Sun

doi:10.1016/j.econlet.2022.110394

A score statistic for testing the presence of a stochastic trend in conditional variances

Yongmiao Hong, Oliver Linton, Brendan McCabe, Jiajing Sun

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

Original language	English
Article number	110394
Number of pages	6
Journal	Economics Letters
Volume	213
Early online date	23 Feb 2022
DOIs	https://doi.org/10.1016/j.econlet.2022.110394
Publication status	Published - Apr 2022

Keywords

GARCH
Unit root
Score statistic

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title = "A score statistic for testing the presence of a stochastic trend in conditional variances",

abstract = "This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.",

keywords = "GARCH, Unit root, Score statistic",

author = "Yongmiao Hong and Oliver Linton and Brendan McCabe and Jiajing Sun",

year = "2022",

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doi = "10.1016/j.econlet.2022.110394",

language = "English",

volume = "213",

journal = "Economics Letters",

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AU - Hong, Yongmiao

AU - Linton, Oliver

AU - McCabe, Brendan

AU - Sun, Jiajing

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Y1 - 2022/4

N2 - This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

AB - This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

KW - GARCH

KW - Unit root

KW - Score statistic

U2 - 10.1016/j.econlet.2022.110394

DO - 10.1016/j.econlet.2022.110394

M3 - Article

SN - 0165-1765

VL - 213

JO - Economics Letters

JF - Economics Letters

M1 - 110394

ER -

A score statistic for testing the presence of a stochastic trend in conditional variances

Abstract

Keywords

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