The effects of outliers on two nonlinearity tests

DOI10.1080/03610910008813645zbMath1007.62074OpenAlexW2019199761MaRDI QIDQ4784252

J. Tolvi

Publication date: 26 March 2003

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910008813645

zbMATH Keywords

tablesARCHGARCHLagrange multiplier testsbilinearity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity, The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis, Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks

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