Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis (Q4033909)
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scientific article; zbMATH DE number 166591
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| English | Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis |
scientific article; zbMATH DE number 166591 |
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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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0.8369835019111633
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0.8204178810119629
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0.8097735643386841
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0.7956230640411377
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