Moment condition tests for heavy tailed time series

We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application, and in ge...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of econometrics 2013-02, Vol.172 (2), p.255-274
Hauptverfasser:	Hill, Jonathan B., Aguilar, Mike
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Bootstrap method Econometrics GARCH models Heavy tails Moment condition test Probability distribution Robust inference Spillovers Studies Tail trimming Time series Variance Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!