Specification test for a linear regression model with ARCH process (Q1918165): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4170123 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model specification tests. A simultaneous approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis / rank
 
Normal rank
Property / cites work
 
Property / cites work: A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for Neglected Heterogeneity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Small sample properties of alternative forms of the Lagrange multiplier test / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model Specification Tests Based on Artificial Linear Regressions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Form of the Information Matrix Test / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3999329 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Class of Nonlinear Arch Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Covariance Matrix of the Information Matrix Test / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Specification Testing and Conditional Moment Tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic effect of substituting estimators for parameters in certain types of statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diagnostic testing and evaluation of maximum likelihood models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Misspecified Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4869532 / rank
 
Normal rank

Latest revision as of 13:27, 24 May 2024

scientific article
Language Label Description Also known as
English
Specification test for a linear regression model with ARCH process
scientific article

    Statements

    Specification test for a linear regression model with ARCH process (English)
    0 references
    0 references
    0 references
    18 July 1996
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    autoregressive conditional heteroskedasticity
    0 references
    information matrix test
    0 references
    double length regression
    0 references
    ARCH models
    0 references
    time series
    0 references
    covariance matrix
    0 references
    test for variation in the fourth moment
    0 references
    heterokurtosis
    0 references
    0 references
    0 references