A Lagrange multiplier test for GARCH models

DOI10.1016/0165-1765(91)90221-6MaRDI QIDQ1184755zbMATH OpenOpenAlexFDO

Authors John H. H. Lee

Publication date 28 June 1992

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/267154/files/monash-114.pdf

zbMATH Keywords

ARCH alternativeGARCH alternativeGARCH disturbancesLagrange multiplier testtesting white noise disturbances

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Evaluating GARCH models.
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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3157499 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Testing the specification of a fitted autoregressive-moving average model
• The Lagrangian Multiplier Test

Cited in

(28)

• Testing for GARCH effects: A one-sided approach
• The persistence in volatility of the US term premium 1970--1986
• Testing for identification in SVAR-GARCH models
• Evaluating GARCH models.
• A Lagrange multiplier test for causality in variance
• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• Testing for multivariate volatility functions using minimum volume sets and inverse regression
• Artificial regression testing in the GARCH‐in‐mean model
• The information matrix test in the linear regression with ARMA errors
• Robustness of the arch tests in the presence of serial correlation
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
• ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
• The effects of outliers on two nonlinearity tests
• Assessment of Local Influence in GARCH Processes
• On the test of the volatility proxy model
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• The structural Sharpe model under t-distributions
• A conditionally heteroskedastic binary choice model for macro-financial time series
• A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
• A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• Rao's score, Neyman's C() and Silvey's LM tests: an essay on historical developments and some new results
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Testing ARCH effect of high-dimensional time series data
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• On robust testing for conditional heteroscedasticity in time series models
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

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