The Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data.

Robust Lagrange multiplier test with forward search simulation envelopes

GROSSI, Luigi;
2009-01-01

Abstract

The Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data.
2009
9785965103546
Financial time series; GARCH models; forward search
File in questo prodotto:
Non ci sono file associati a questo prodotto.

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/11562/332520
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact