<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "Misspecification Testing in GARCH-MIDAS Models"^^ . "We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an explanatory variable. We suggest a Lagrange Multiplier statistic for testing the null hypothesis that the variable has no explanatory power. Hence, under the null hypothesis the long-term component is constant and the GARCH-MIDAS reduces to the simple GARCH model. We derive the asymptotic theory for our test statistic and investigate its finite sample properties by Monte-Carlo simulation. The usefulness of our procedure is illustrated by an empirical application to S&P 500 return data."^^ . "2015-07" . . . "0597" . . . . . . . . "Melanie "^^ . "Schienle"^^ . "Melanie Schienle"^^ . . "Christian"^^ . "Conrad"^^ . "Christian Conrad"^^ . . . . . . "Misspecification Testing in GARCH-MIDAS Models (PDF)"^^ . . . "conrad_schienle_2015_dp597.pdf"^^ . . . "Misspecification Testing in GARCH-MIDAS Models (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Misspecification Testing in GARCH-MIDAS Models (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Misspecification Testing in GARCH-MIDAS Models (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Misspecification Testing in GARCH-MIDAS Models (Other)"^^ . . . . . . "small.jpg"^^ . . . "Misspecification Testing in GARCH-MIDAS Models (Other)"^^ . . . . . . "indexcodes.txt"^^ . . "HTML Summary of #19006 \n\nMisspecification Testing in GARCH-MIDAS Models\n\n" . "text/html" . . . "330 Wirtschaft"@de . "330 Economics"@en . .