Testing the equality of error distributions from k independent GARCH models

Host Institution:

La Trobe University

Title of Seminar:

Testing the equality of error distributions from k independent GARCH models

Speaker's Name:

Ajay Chandra

Speaker's Institution:

La Trobe University

Time and Date:

Friday 17 July 2009 at 11:00 am

Seminar Abstract:

We study the problem of testing the null hypothesis that errors from k independent parametrically specified generalized autoregressive conditional heteroskedasticity (GARCH) models have the same distribution versus a general alternative. First we establish the asymptotic validity of a class of linear test statistics derived from the k residual-based empirical distribution functions. A distinctive feature is that the asymptotic distribution of the test statistics involves terms depending on the distributions of errors and the parameters of the models, and weight functions providing the flexibility to choose scores for investigating power performance. A Monte Carlo study assesses the asymptotic performance of the Wilcoxon and Van der Waerden tests in terms of empirical size and power in finite samples. The results demonstrate that the proposed tests have overall reasonable size and their power is particularly high when the assumption of Gaussian errors is violated.

Seminar Convenor:

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