This paper extends the Lagrange multiplier (LM) test to testing white noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test for the GARCH alternative is identical to the LM test for an ARCH alternative
A convenient artifical regression based LM test of non-normality in the probit model is derived usin...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
This paper considers the twin problems of testing for ARCH and GARCH disturbances in the linear regr...
Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model again...
A Lagrange multiplier test for testing the parametric structure of a constant conditional correlatio...
A Lagrange multiplier test for testing the parametric structure of a constant conditional correlatio...
Abstract: We introduce a Lagrange Multiplier (LM) test for the constant-correlation hypothesis in a ...
The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (...
This paper has two aims. The first is to exposit the various forms of the LM statistic and to collec...
We build on the threshold unit root tests in Enders and Granger (1998) and develop tests based on La...
Macroeconomic and financial time series are often tested for the presence of non-linearity effects. ...
AbstractA combined Lagrange multiplier (LM) test for autoregressive conditional heteroskedastic (ARC...
<p>We consider the problem of testing for an omitted multiplicative long-term component in GARCH-typ...
Macroeconomic and financial time series are often tested for the presence of non linearity effects....
A convenient artifical regression based LM test of non-normality in the probit model is derived usin...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
This paper considers the twin problems of testing for ARCH and GARCH disturbances in the linear regr...
Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model again...
A Lagrange multiplier test for testing the parametric structure of a constant conditional correlatio...
A Lagrange multiplier test for testing the parametric structure of a constant conditional correlatio...
Abstract: We introduce a Lagrange Multiplier (LM) test for the constant-correlation hypothesis in a ...
The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (...
This paper has two aims. The first is to exposit the various forms of the LM statistic and to collec...
We build on the threshold unit root tests in Enders and Granger (1998) and develop tests based on La...
Macroeconomic and financial time series are often tested for the presence of non-linearity effects. ...
AbstractA combined Lagrange multiplier (LM) test for autoregressive conditional heteroskedastic (ARC...
<p>We consider the problem of testing for an omitted multiplicative long-term component in GARCH-typ...
Macroeconomic and financial time series are often tested for the presence of non linearity effects....
A convenient artifical regression based LM test of non-normality in the probit model is derived usin...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
International audienceIn this article, a misspecification test in conditional volatility and GARCH-t...
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