ARMA MODELS WITH ARCH ERRORS

DOI10.1111/J.1467-9892.1984.TB00382.XzbMath0549.62079OpenAlexW2030704696MaRDI QIDQ3341736

Andrew A. Weiss

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00382.x

zbMATH Keywords

model buildingheteroscedasticityautoregressiveMaximum likelihoodARMA modelsleast squares estimatesARCH errorsmacroeconomic time seriesBox-Jenkins methodology

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Tests for departure from normality in the case of linear stochastic processes
• Nonlinear Regression with Dependent Observations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Two Methods for Examining the Stability of Regression Coefficients
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Specification Tests in Econometrics

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