On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models

In this paper, we study the Jarque–Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

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Year of publication:	2013
Authors:	Lee, Taewook
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 119.2013, 1, p. 50-54
Publisher:	Elsevier
Subject:	Parameter change \| Cusum test \| Jarque–Bera test \| Normality test \| Threshold GARCH model

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Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010662393