Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.
Year of publication: |
2001
|
---|---|
Authors: | DUFOUR, Jean-Marie ; KHALAF, Lynda ; BERNARD, Jean-Thomas |
Institutions: | Département de Sciences Économiques, Université de Montréal |
Subject: | heteroskedasticity | homoskedasticity | linear regression | Monte Carlo test | exact test | finite-same test | scification test | ARCH | GARCH | ARCH-in-mean | stable distribution | structural stability |
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