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Title: Specification test for a linear regression model with ARCH process
Authors: Bera, A.K.
Zuo, X.-L. 
Keywords: Autoregressive conditional heteroskedasticity
Double length regression
Information matrix test
Issue Date: 1996
Citation: Bera, A.K., Zuo, X.-L. (1996). Specification test for a linear regression model with ARCH process. Journal of Statistical Planning and Inference 50 (2) : 283-308. ScholarBank@NUS Repository.
Abstract: ARCH models are used widely in analyzing economic and financial time series data. Many tests are available to detect the presence of ARCH; however, there is no acceptable procedure available for testing an estimated ARCH model.. In this paper we develop a test for a linear regression model with ARCH disturbances using the framework of the information matrix (IM) test. For the ARCH specification, the covariance matrix of the indicator vector is not block diagonal, and the IM test is turned out to be a test for variation in the fourth moment, i.e., a test for heterokurtosis. An illustrative example is provided to demonstrate the usefulness of the proposed test.
Source Title: Journal of Statistical Planning and Inference
ISSN: 03783758
DOI: 10.1016/0378-3758(95)00059-3
Appears in Collections:Staff Publications

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