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LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS

Published online by Cambridge University Press:  03 March 2001

Lajos Horváth  and
Piotr Kokoszka
Lajos Horváth
Affiliation:
University of Utah
Piotr Kokoszka
Affiliation:
University of Liverpool
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Abstract

We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH(p) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 2 , April 2001 , pp. 283 - 295
Copyright
© 2001 Cambridge University Press

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