The information matrix test in the linear regression with ARMA errors

DOI10.1007/BF02589097MaRDI QIDQ3598368zbMATH OpenOpenAlexFDO

Authors Marilena Furno

Publication date 3 February 2009

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02589097

zbMATH Keywords

ARMA processbilinearityconditional heteroskedasticityinformation matrix testnon-normality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A Lagrange multiplier test for GARCH models
• Asymptotic Expansions of the Information Matrix Test Statistic
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroscedastic Time Series Models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3483358 (Why is no real title available?)
• Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis
• Maximum Likelihood Estimation of Misspecified Models
• Model specification tests. A simultaneous approach
• The Covariance Matrix of the Information Matrix Test
• The Information Matrix Test for the Linear Model

Cited in

(11)

• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• The Information Matrix Test for the Linear Model
• A New Form of the Information Matrix Test
• The Sensitivity of Some General Checks to Omitted Variables in the Linear Model
• scientific article; zbMATH DE number 2075213 (Why is no real title available?)
• Normality test in random coefficient autoregressive models
• Beta regression misspecification tests
• Information matrix test for normality of innovations in stationary time series models
• New strategies for detecting atypical observations based on the information matrix equality
• Shrinkage estimation of linear regression models with ARIMA errors and applications to Canadian crime rates data
• On the calculation of the information matrix test in the normal linear regression model

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