[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2004.11.2.323

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)

Publication Information

Communications for Statistical Applications and Methods / v.11, no.2, 2004 , pp. 323-327 More about this Journal

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;

Citations & Related Records

Reference

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