Testing for ARCH in the presence of a possibly misspecified conditional mean

Journal of Econometrics

Volumn 93, Issue 2, 1999, Pages 257-279

  Lumsdaine, Robin L ^a   Ng, Serena ^b  

^a BROWN UNIVERSITY   (United States)

^b BOSTON COLLEGE   (United States)

Author keywords

Autoregressive conditional heteroskedasticity; Lagrange multiplier test; Model mis specification; Recursive residuals

Indexed keywords

EID: 0012769939     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00011-1     Document Type: Article

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