Statistical tests routinely adopted for detecting nonlinear components in time series rely on the auxiliary regression of ARMA lagged residuals, and the Lagrange multiplier test to detect ARCH components is an example. The size distortion of such test suggests adopting a weighted test, where the weights are computed through a forward search algorithm. Simulations show that the forward weighted robust test is preferable to the classical Lagrange test and to existing robust tests, which are based on backward weighted regression or on estimated autocorrelation function. The forward weighted robust test is applied to daily financial and quarterly macroeconomic time series, showing its usefulness in detecting ARCH effects, even when outliers are present.

A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity / Grossi, Luigi; Laurini, Fabrizio. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 19:(2008), pp. 1-13. [10.1016/j.csda.2008.09.018]

A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

GROSSI LUIGI;LAURINI, Fabrizio
2008-01-01

Abstract

Statistical tests routinely adopted for detecting nonlinear components in time series rely on the auxiliary regression of ARMA lagged residuals, and the Lagrange multiplier test to detect ARCH components is an example. The size distortion of such test suggests adopting a weighted test, where the weights are computed through a forward search algorithm. Simulations show that the forward weighted robust test is preferable to the classical Lagrange test and to existing robust tests, which are based on backward weighted regression or on estimated autocorrelation function. The forward weighted robust test is applied to daily financial and quarterly macroeconomic time series, showing its usefulness in detecting ARCH effects, even when outliers are present.
2008
A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity / Grossi, Luigi; Laurini, Fabrizio. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 19:(2008), pp. 1-13. [10.1016/j.csda.2008.09.018]
File in questo prodotto:
File Dimensione Formato  
grossi_laurini_2008.pdf

non disponibili

Tipologia: Documento in Post-print
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 1.22 MB
Formato Adobe PDF
1.22 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11381/1868549
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 15
  • ???jsp.display-item.citation.isi??? 12
social impact