Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
