Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis

DOI10.2307/2297820zbMATH Open0766.62039OpenAlexW2007934325WikidataQ56806320 ScholiaQ56806320MaRDI QIDQ4033909FDOQ4033909

Authors: Anil K. Bera, Sang-Kyu Lee 

Publication date: 16 May 1993

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2142/29901

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zbMATH Keywords

ARCHautocorrelated errorsautoregressive conditional heteroskedasticityparameter variationheterocliticityEngle Lagrange multiplier testIM testtest for parameter heterogeneityWhite information matrix test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (5)

• Specification test for a linear regression model with ARCH process
• The Information Matrix Test for the Linear Model
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• The information matrix test in the linear regression with ARMA errors
• Testing for Neglected Heterogeneity

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