Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis

DOI10.2307/2297820MaRDI QIDQ4033909zbMATH OpenOpenAlexWikidataFDO

Authors Anil K. Bera, Sang-Kyu Lee

Publication date 16 May 1993

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2142/29901

zbMATH Keywords

ARCHautocorrelated errorsautoregressive conditional heteroskedasticityEngle Lagrange multiplier testheterocliticityIM testparameter variationtest for parameter heterogeneityWhite information matrix test

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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Cited in

(5)

• Specification test for a linear regression model with ARCH process
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• The information matrix test in the linear regression with ARMA errors
• Testing for Neglected Heterogeneity
• The Information Matrix Test for the Linear Model

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