Hey Starz,
ah ok! That I understand some better, thank you!
Do you maybe have any literature recommendation(s) for me regarding this topic??
Cheers,
Anna
Search found 3 matches
- Sun Sep 06, 2009 9:23 am
- Forum: Econometric Discussions
- Topic: Nullity of coefficients in GARCH models
- Replies: 5
- Views: 6884
- Sun Sep 06, 2009 7:58 am
- Forum: Econometric Discussions
- Topic: Nullity of coefficients in GARCH models
- Replies: 5
- Views: 6884
Re: Nullity of coefficients in GARCH models
Hey Startz, thank you for your reply. I am familiar with the fact, that the distribution is assumed to converge against the normal distribution with large ns. However, this is also the case for OLS. So why is a t-test used for the OLS and a z-test for the GARCH model?? Maybe the answer lies in your ...
- Sun Sep 06, 2009 2:55 am
- Forum: Econometric Discussions
- Topic: Nullity of coefficients in GARCH models
- Replies: 5
- Views: 6884
Nullity of coefficients in GARCH models
Hey everyone, I am a Eviews greenhorn, but the following has not become clear to me yet: When I estimate my model using OLS (n=355) the t-statistic is reportet for the coefficients. When I include a GARCH process for the variance of error terms the test statistic for the coeffients automatically swi...