Friday 8 November 2019, 2.00PM to 3.00 pm
Speaker(s): Yuning Li (PhD)
Host: Econometric Theory Cluster
Abstract: This article investigates the statistical inference problem of whether a measurement equation is self-consistent in the logarithmic realized GARCH model (log-RealGARCH). First, we provide the sufficient and necessary conditions for the strict stationarity of both the log-RealGARCH model and the log-GARCH-X model. Under these conditions, strong consistency and asymptotic normality of the quasi-maximum likelihood estimators of these two models are obtained. Then, based on the asymptotic results, we propose a Hausman-type self-consistency test for diagnosing the suitability of the measurement equation in the log-RealGARCH model. Finally, the results of simulations and an empirical study are found to accord with the theoretical results.
Location: A/D271 ERC Meeting Room (above Alcuin Porters)
Admission: All welcome