Artificial regression testing in the GARCH‐in‐mean model

DOI10.1111/J.1368-423X.2005.00166.XzbMath1078.62094MaRDI QIDQ3367406

Eduardo Rossi, Riccardo Lucchetti

Publication date: 24 January 2006

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

zbMATH Keywords

Lagrange multiplier tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Uses Software

• Ox

Cites Work

• Analytical score for multivariate GARCH models
• DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE
• Unnamed Item

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