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Ljung-Box Test in Unit Root AR-ARCH Model
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 Title & Authors
Ljung-Box Test in Unit Root AR-ARCH Model
Kim, Eunhee; Ha, Jeongcheol; Jeon, Youngsook; Lee, Sangyeol;
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 Abstract
In this paper, we investigate the limiting distribution of the Ljung-Box test statistic in the unit root AR models with ARCH errors. We show that the limiting distribution is approximately chi-square distribution with the degrees of freedom only depending on the number of autocorrelation lags appearing in the test. Some simulation results are provided for illustration.
 Keywords
Unit root model;AR-ARCH model;Ljung-Box test statistic;
 Language
English
 Cited by
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Model Checking for Time-Series Count Data,;

Communications for Statistical Applications and Methods, 2005. vol.12. 2, pp.359-364 crossref(new window)
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