Adaptive testing in arch models

DOI10.1080/07474930008800466zbMath0949.62032OpenAlexW2060816337MaRDI QIDQ4493477

Oliver B. Linton, Douglas G. Steigerwald

Publication date: 20 November 2000

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d11/d1105.pdf

zbMATH Keywords

ARCHconditional heteroskedasticitysemiparametricadaptive testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

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