Blake, Andrew P.; Kapetanios, George - 2003
misspecification of the conditional mean may lead to spurious rejections of the null hypothesis of no ARCH. Nonlinearity is a prime … example of this phenomenon. There is little work on the extent of the effect of neglected nonlinearity on the properties of … neglected nonlinearity. Monte Carlo evidence shows that the problem is serious and that the new methods alleviate this problem …