A test for the presence of conditional heteroskedasticity within arch-m framework (Q4860431): Difference between revisions
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| Property / cites work: A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS / rank | |||
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| Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank | |||
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| Property / cites work: Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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| Property / cites work: A note on Studentizing a test for heteroscedasticity / rank | |||
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| Property / cites work: Some properties of the crossings process generated by a stationary χ<sup>2</sup> process / rank | |||
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Latest revision as of 08:13, 24 May 2024
scientific article; zbMATH DE number 834219
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A test for the presence of conditional heteroskedasticity within arch-m framework |
scientific article; zbMATH DE number 834219 |
Statements
A test for the presence of conditional heteroskedasticity within arch-m framework (English)
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6 May 1996
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Lagrange multiplier test
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non-standard problem
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testing the presence of ARCH
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ARCH-M model
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conditional variance
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misspecification
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conditional mean
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unidentified nuisance parameter
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Monte Carlo
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