Communications for Statistical Applications and Methods

  • 제11권2호
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  • Pages.323-327
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  • 2004
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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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)
  • 발행 : 2004.08.01
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초록

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.

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참고문헌

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