Ljung-Box Test in Unit Root AR-ARCH Model Kim, Eunhee; Ha, Jeongcheol; Jeon, Youngsook; Lee, Sangyeol;
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.
Unit root model;AR-ARCH model;Ljung-Box test statistic;