Coefficient constancy test in AR-ARCH models (Q1613041)
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scientific article; zbMATH DE number 1796717
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| English | Coefficient constancy test in AR-ARCH models |
scientific article; zbMATH DE number 1796717 |
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Coefficient constancy test in AR-ARCH models (English)
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5 September 2002
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RCA model
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ARCH model
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asymptotic normality
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AR-ARCH model
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locally best invariant test
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0.9287901
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0.91978014
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0.89327615
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0.8900734
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0.8880349
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