Specification test for a linear regression model with ARCH process (Q1918165)
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scientific article; zbMATH DE number 906630
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification test for a linear regression model with ARCH process |
scientific article; zbMATH DE number 906630 |
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Specification test for a linear regression model with ARCH process (English)
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18 July 1996
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autoregressive conditional heteroskedasticity
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information matrix test
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double length regression
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ARCH models
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time series
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covariance matrix
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test for variation in the fourth moment
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heterokurtosis
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0.9100087
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0.9031623
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0.8885727
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0.8824085
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