Please use this identifier to cite or link to this item: https://doi.org/10.1016/0378-3758(95)00059-3
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dc.titleSpecification test for a linear regression model with ARCH process
dc.contributor.authorBera, A.K.
dc.contributor.authorZuo, X.-L.
dc.date.accessioned2011-02-22T03:08:42Z
dc.date.available2011-02-22T03:08:42Z
dc.date.issued1996
dc.identifier.citationBera, 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. https://doi.org/10.1016/0378-3758(95)00059-3
dc.identifier.issn03783758
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/19321
dc.description.abstractARCH 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/0378-3758(95)00059-3
dc.sourceScopus
dc.subjectAutoregressive conditional heteroskedasticity
dc.subjectDouble length regression
dc.subjectInformation matrix test
dc.typeArticle
dc.contributor.departmentECONOMICS & STATISTICS
dc.description.doi10.1016/0378-3758(95)00059-3
dc.description.sourcetitleJournal of Statistical Planning and Inference
dc.description.volume50
dc.description.issue2
dc.description.page283-308
dc.description.codenJSPID
dc.identifier.isiutA1996UC45800009
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