Testing for ARCH in the presence of a possibly misspecified conditional mean

DOI10.1016/S0304-4076(99)00011-1zbMath0943.62118OpenAlexW2116659784MaRDI QIDQ1808547

Robin L. Lumsdaine, Serena Ng

Publication date: 10 September 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00011-1

zbMATH Keywords

model misspecificationLagrange multiplier testrecursive residuals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (13)

Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ Mean and volatility dynamics of indian rupee/US dollar exchange rate series: an empirical investigation ⋮ Sovereign risk contagion in the Eurozone ⋮ Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity ⋮ Specification error caused by level shifts and temporary changes in ARMA–GARCH models ⋮ Moments of Markov switching models ⋮ Missing mean does no harm to volatility! ⋮ The Laplace likelihood ratio test for heteroscedasticity ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 2) ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap ⋮ Residual-based rank specification tests for AR-GARCH type models

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