A test for the presence of conditional heteroskedasticity within arch-m framework (Q4860431)
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scientific article; zbMATH DE number 834219
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| English | A test for the presence of conditional heteroskedasticity within arch-m framework |
scientific article; zbMATH DE number 834219 |
Statements
A test for the presence of conditional heteroskedasticity within arch-m framework (English)
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6 May 1996
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Lagrange multiplier test
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non-standard problem
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testing the presence of ARCH
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ARCH-M model
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conditional variance
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misspecification
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conditional mean
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unidentified nuisance parameter
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Monte Carlo
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0.8735992908477783
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0.8459430932998657
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0.8301487565040588
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0.8165497779846191
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