Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

Journal of Econometrics

Volumn 122, Issue 2, 2004, Pages 317-347

  Dufour, Jean Marie ^a,c   Khalaf, Lynda ^a,b   Bernard, Jean Thomas ^b   Genest, Ian ^b  

^a Université de Montréal   (Canada)

^b UNIVERSITÉ LAVAL   (Canada)

^c Dépt de Sci Écon   (Canada)

Author keywords

Exact test; GARCH; Linear regression; Monte Carlo test; Specification test

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; LINEAR EQUATIONS; MONTE CARLO METHODS; PROBLEM SOLVING; STATISTICAL TESTS;

EXACT TEST; GARCH; LINEAR REGRESSION; MONTE CARLO TEST; SPECIFICATION TEST;

REGRESSION ANALYSIS;

EID: 3343005554     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.10.024     Document Type: Article

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