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Ljung-Box Test in Unit Root AR-ARCH Model

  • Kim, Eunhee (Department of Statistics, Seoul National University) ;
  • Ha, Jeongcheol (Solution Business Team, Korea Information Servic) ;
  • Jeon, Youngsook (Department of Statistics, Seoul National University) ;
  • Lee, Sangyeol (Department of Statistics, Seoul National University)
  • Published : 2004.08.01

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

References

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