Large sample tests for a regression model with autoregressive conditional heteroscedastic errors

DOI10.1080/03610929908832285zbMath0927.62086OpenAlexW1976754865MaRDI QIDQ4237849

Harinarayan Dutta

Publication date: 14 December 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929908832285

zbMATH Keywords

Wald testlimiting distributionRao's score testtest statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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