Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
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Cites work
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- A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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- Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
- Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
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- Exact tests for structural change in first-order dynamic models
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- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
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Cited in
(24)- Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
- Exact confidence sets and goodness-of-fit methods for stable distributions
- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
- Exact tests of the stability of the Phillips curve: the Canadian case
- Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
- Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
- Finite sample multivariate structural change tests with application to energy demand models
- Hypothesis testing for ARCH models: a multiple quantile regressions approach
- Tests for regression models with heteroskedasticity of unknown form
- Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
- New tests of heteroskedasticity in linear regression model
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
- Hypothesis testing based on a vector of statistics
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
- skedastic
- Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
- Generalized LM tests for functional form and heteroscedasticity
- Exact test for breaks in covariance in multivariate regressions
- Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
- Finite sample multivariate tests of asset pricing models with coskewness
- Improving the reliability of bootstrap tests with the fast double bootstrap
- Identification-Robust Inference With Simulation-Based Pseudo-Matching
- Identification-robust moment-based tests for Markov switching in autoregressive models
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