In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliners (AO's). We show analytically that both the asymptotic size and power are adversely...

In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, promotion activities. Since the data show nonstationary characteristics, we...