Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis (Q4033909)

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Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis
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    Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis (English)
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    16 May 1993
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    White information matrix test
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    heterocliticity
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    Engle Lagrange multiplier test
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    autocorrelated errors
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    autoregressive conditional heteroskedasticity
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    test for parameter heterogeneity
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    IM test
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    ARCH
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    parameter variation
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