Testing for conditional heteroskedasticity with misspecified alternative hypotheses

Journal of Econometrics

Volumn 82, Issue 1, 1997, Pages 63-80

  Dastoor, Naorayex K ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Asymptotic local power; Conditional heterokurticity; Conditional heteroskedasticity; Lagrange multiplier statistic; Misspecified alternative

Indexed keywords

EID: 0041853066     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)88956-7     Document Type: Article

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