The spurious effect of ARCH errors on linearity tests : a theoretical note and an alternative maximum likelihood approach
Year of publication: |
Apr 2018
|
---|---|
Authors: | Pavlidis, Efthymios G. ; Tsionas, Efthymios G. |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 2, p. 1-8
|
Subject: | ARCH | linearity tests | smooth transition models | spurious inference | Schätztheorie | Estimation theory |
-
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben, (2021)
-
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander, (2021)
-
Do estimated Taylor rules suffer from weak identification?
Urquiza, Juan I., (2017)
- More ...
-
Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
PAVLIDIS, EFTHYMIOS G., (2018)
-
Real exchange rates and time-varying trade costs'
Pavlidis, Efthymios G., (2009)
-
Forecasting the real exchange rate using a long span of data : a rematch ; linear vs. nonlinear
Pavlidis, Efthymios G., (2009)
- More ...