Specification test for a linear regression model with ARCH process

DOI10.1016/0378-3758(95)00059-3zbMath0848.62059OpenAlexW1979354377WikidataQ56806317 ScholiaQ56806317MaRDI QIDQ1918165

Anil K. Bera, Xiao-Lei Zuo

Publication date: 18 July 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00059-3

zbMATH Keywords

time seriescovariance matrixARCH modelsinformation matrix testautoregressive conditional heteroskedasticitydouble length regressionheterokurtosistest for variation in the fourth moment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items

Asymptotic variance of test statistics in the ML and QML frameworks, Residual‐based diagnostics for conditional heteroscedasticity models, PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS

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