Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129553
Authors: 
Leucht, Anne
Neumann, Michael H.
Kreiss, Jens-Peter
Year of Publication: 
2013
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 13-11
Abstract: 
We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.
Subjects: 
Bootstrap
Cramér-von Mises test
GARCH processes
V-statistic
JEL: 
C12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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