Specification test for a linear regression model with ARCH process
type: Item
instance of: scholarly article
title: Specification test for a linear regression model with ARCH process
zbMATH Open document ID: 0848.62059
DOI: 10.1016/0378-3758(95)00059-3
author: Anil K. Bera
author: Xiao-Lei Zuo
published in: Journal of Statistical Planning and Inference
publication date: 1996-07-18T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62H15
zbMATH DE Number: 906630
zbMATH Keywords: autoregressive conditional heteroskedasticity
zbMATH Keywords: information matrix test
zbMATH Keywords: double length regression
zbMATH Keywords: ARCH models
zbMATH Keywords: time series
zbMATH Keywords: covariance matrix
zbMATH Keywords: test for variation in the fourth moment
zbMATH Keywords: heterokurtosis
Wikidata QID: Q56806317
MaRDI profile type: Publication
full work available at URL: 0378-3758(95)00059-3
OpenAlex ID: W1979354377
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description: scientific article; zbMATH DE number 906630