A test for the presence of conditional heteroskedasticity within arch-m framework

DOI10.1080/07474939508800332zbMath0836.62068OpenAlexW2034104329WikidataQ56806319 ScholiaQ56806319MaRDI QIDQ4860431

Anil K. Bera, Sungsup Ra

Publication date: 6 May 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800332

zbMATH Keywords

Monte Carlomisspecificationconditional varianceLagrange multiplier testARCH-M modelconditional meanunidentified nuisance parameternon-standard problemtesting the presence of ARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models ⋮ Simulation-based exact jump tests in models with conditional heteroskedasticity ⋮ Exact tests of the stability of the Phillips curve: the Canadian case ⋮ Score tests when a nuisance parameter is unidentified under the null hypothesis ⋮ Rao's score test in spatial econometrics ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models ⋮ Testing for GARCH effects: A one-sided approach

Cites Work

• A note on Studentizing a test for heteroscedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Some properties of the crossings process generated by a stationary χ² process

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