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Rasmus Søndergaard PEDERSEN (University of Copenhagen) “Testing GARCH-X type models”.

June 21, 5:30 pm - 6:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 17:30 pm – 18h30 pm
Date: 21th of June 2018
Place: Room 3001.

Rasmus Søndergaard PEDERSEN (University of Copenhagen) “Testing GARCH-X type models”.

Abstract:We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a noticeable property of specific zero-entries in the inverse information of the GARCH-X type models. Specifically, we consider sequential testing based on two likelihood ratio tests and as demonstrated the structure of the inverse information implies that the proposed test neither depends on whether the nuisance parameters lie on the boundary of the parameter space, nor on lack of identification. Asymptotic theory is derived essentially under stationarity and ergodicity, coupled with a regularity assumption on the exogenous covariate X. Our general results on GARCH-X type models are  applied to Gaussian based GARCH-X models, GARCH-X models with Student’s t-distributed innovations as well as integer-valued GARCH-X (PAR-X) models.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
June 21
Time:
5:30 pm - 6:30 pm
Event Categories:
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