Jiajing Sun

Jiajing Sun

PhD, CFA, FIMA, Member of the London Mathematical Society. Associate Professor and the Deputy Director of the Department of Statistics and Data Science, School of Economics and Management, University of the Chinese Academy of Sciences.

Adjusted-range self-normalized confidence interval construction for censored dependent data

Published in Economics Letters, 2022

Abstract

This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

Publisher / DOI page

Recommended citation: Sun, J., Hong, Y., Linton, O., & Zhao, X. (2022). "Adjusted-range self-normalized confidence interval construction for censored dependent data." Economics Letters, 110873.
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