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

DOI10.1080/07474939508800332zbMATH Open0836.62068OpenAlexW2034104329WikidataQ56806319 ScholiaQ56806319MaRDI QIDQ4860431FDOQ4860431

Authors: 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

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zbMATH Keywords

Monte CarlomisspecificationLagrange multiplier testARCH-M modelconditional varianceconditional meanunidentified nuisance parameternon-standard problemtesting the presence of ARCH

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (17)

• Exact tests of the stability of the Phillips curve: the Canadian case
• Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
• Score tests when a nuisance parameter is unidentified under the null hypothesis
• Testing for conditional heteroscedasticity in the components of inflation
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• Rao's score test in spatial econometrics
• Title not available (Why is that?)
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• The effect of conditional heteroskedasticity on common statistical procedures for means and variances
• Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
• ARCH tests and quantile regressions
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
• Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis
• Testing for GARCH effects: A one-sided approach

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