Eklund, Bruno (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. January 18, 2006
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...
