Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis.
The authors apply the White information matrix test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the En gle Lagrange multiplier test for autoregressive conditional heteroskedasticity. Given A. D. Chesher's interpretation of the information matrix test as a test for parameter heterogeneity, this establishes a connection among the information matrix test, autoregressive conditional heteroskedasticity, and parameter variation. This also enables the authors to specify conditional heteroskedasticity in a m ore general and convenient way. Other interesting by-products of their analysis are tests for the variation in conditional and static skewn ess that the authors call tests for "heterocliticity." Copyright 1993 by The Review of Economic Studies Limited.
Year of publication: |
1993
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Authors: | Bera, Anil K ; Lee, Sangkyu |
Published in: |
Review of Economic Studies. - Wiley Blackwell, ISSN 0034-6527. - Vol. 60.1993, 1, p. 229-40
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Publisher: |
Wiley Blackwell |
Saved in:
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