摘要翻译：
本文利用bootstrap方法研究了条件波动率参数与新息矩的联合推理，检验了GARCH(p，q)过程矩的存在性。我们提出了一个残差自举来模拟拟极大似然估计量和残差经验矩的联合分布，并证明了它的有效性。提出了一种基于Bootstrap的矩存在性检验方法，该方法提供了渐近正确大小的检验而不损失其一致性。它实现简单，并扩展到其他GARCH类型的设置。一个模拟研究证明了测试在有限样本中的大小和功率特性，一个经验应用说明了测试方法。
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英文标题：
《A Bootstrap Test for the Existence of Moments for GARCH Processes》
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作者：
Alexander Heinemann
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  This paper studies the joint inference on conditional volatility parameters and the innovation moments by means of bootstrap to test for the existence of moments for GARCH(p,q) processes. We propose a residual bootstrap to mimic the joint distribution of the quasi-maximum likelihood estimators and the empirical moments of the residuals and also prove its validity. A bootstrap-based test for the existence of moments is proposed, which provides asymptotically correctly-sized tests without losing its consistency property. It is simple to implement and extends to other GARCH-type settings. A simulation study demonstrates the test's size and power properties in finite samples and an empirical application illustrates the testing approach.
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PDF链接：
https://arxiv.org/pdf/1902.01808