The information matrix test in the linear regression with ARMA errors

DOI10.1007/BF02589097zbMath1417.62345OpenAlexW2032166835MaRDI QIDQ3598368

Marilena Furno

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589097

zbMATH Keywords

conditional heteroskedasticityARMA processnon-normalityinformation matrix testbilinearity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

Normality test in random coefficient autoregressive models ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

Cites Work

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• Model specification tests. A simultaneous approach
• A Lagrange multiplier test for GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic Expansions of the Information Matrix Test Statistic
• The Covariance Matrix of the Information Matrix Test
• Conditional Heteroscedastic Time Series Models
• The Information Matrix Test for the Linear Model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis
• Maximum Likelihood Estimation of Misspecified Models

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