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MMLU / Suppose that we are interested in testing the null hypothesis that a GARCH(2,2)…

Problem

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question

Suppose that we are interested in testing the null hypothesis that a GARCH(2,2) model can be restricted to a process with a constant conditional variance using the likelihood ratio test approach. Which of the following statements are true?

choices

  1. The test statistic will follow a chi-squared distribution with 2 degrees of freedom under the null hypothesis
  2. The value of the log-likelihood function will almost always be bigger for the restricted model than for the unrestricted model
  3. If the relevant values of the log-likelihood functions are -112.3 and -118.4, the value of the test statistic is 12.2
  4. The likelihood ratio test compares the slopes of the log-likelihood function at the maximum and at the restricted parameter value.

subject

econometrics

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Source and history

task_id
1aca820d-4d97-5128-a4c1-234803cb2b3b
task_key
all--test--1aca820d-4d97-5128-a4c1-234803cb2b3b
task_revision_id
1
config / split
all / test

Official source

initial import