Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis

DOI10.2307/2297820zbMath0766.62039OpenAlexW2007934325WikidataQ56806320 ScholiaQ56806320MaRDI QIDQ4033909

Anil K. Bera, Sang-Kyu Lee

Publication date: 16 May 1993

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2142/29901

zbMATH Keywords

ARCHautocorrelated errorsautoregressive conditional heteroskedasticityparameter variationheterocliticityEngle Lagrange multiplier testIM testtest for parameter heterogeneityWhite information matrix test

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)

Related Items (3)

Specification test for a linear regression model with ARCH process ⋮ The information matrix test in the linear regression with ARMA errors ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

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