Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
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Publication:90702
DOI10.1016/J.JECONOM.2003.10.024zbMATH Open1328.62411OpenAlexW2096302450MaRDI QIDQ90702FDOQ90702
Jean-Thomas Bernard, Ian Genest, Jean-Marie Dufour, Ian Genest, Lynda Khalaf, Jean-Marie Dufour, Lynda Khalaf, Jean-Thomas Bernard
Publication date: October 2004
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://depot.erudit.org/id/000233dd
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cited In (24)
- Exact tests of the stability of the Phillips curve: the Canadian case
- Tests for regression models with heteroskedasticity of unknown form
- Finite sample multivariate tests of asset pricing models with coskewness
- Hypothesis testing based on a vector of statistics
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- Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
- Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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