Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
最小绝对偏差估计的条件异方差时间序列模型诊断
The recent paper by Peng & Yao (2003) gave an interesting extension of least absolute deviation estimation to generalised autoregressive conditional heteroscedasticity, GARCH, time series models. The asymptotic distributions of absolute residual autocorrelations and squared residual autocorrelations from the GARCH model estimated by the least absolute deviation method are derived in this paper. These results lead to two useful diagnostic tools which can be used to check…