TY - JOUR
T1 - Specification test for a linear regression model with ARCH process
AU - Bera, Anil K.
AU - Zuo, Xiao Lei
N1 - Funding Information:
We are gratefutl o an anonymourse fereea ndV.K. Srivastavafo r helpfulc omments and suggestionws hichi mprovedt he presentatioonf the results.T hanksare also due to SungsupR a for researcha ssistanceA. ny remaininge rrorsare our responsibility. Financial support from the Bureau of Economic and Business Researcha nd the ResearchB oard of the Universityo f Illinois is gratefullya cknowledged.
PY - 1996/3/1
Y1 - 1996/3/1
N2 - ARCH models are used widely in analyzing economic and financial time series data. Many tests are available to detect the presence of ARCH; however, there is no acceptable procedure available for testing an estimated ARCH model.. In this paper we develop a test for a linear regression model with ARCH disturbances using the framework of the information matrix (IM) test. For the ARCH specification, the covariance matrix of the indicator vector is not block diagonal, and the IM test is turned out to be a test for variation in the fourth moment, i.e., a test for heterokurtosis. An illustrative example is provided to demonstrate the usefulness of the proposed test.
AB - ARCH models are used widely in analyzing economic and financial time series data. Many tests are available to detect the presence of ARCH; however, there is no acceptable procedure available for testing an estimated ARCH model.. In this paper we develop a test for a linear regression model with ARCH disturbances using the framework of the information matrix (IM) test. For the ARCH specification, the covariance matrix of the indicator vector is not block diagonal, and the IM test is turned out to be a test for variation in the fourth moment, i.e., a test for heterokurtosis. An illustrative example is provided to demonstrate the usefulness of the proposed test.
KW - Autoregressive conditional heteroskedasticity
KW - Double length regression
KW - Information matrix test
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U2 - 10.1016/0378-3758(95)00059-3
DO - 10.1016/0378-3758(95)00059-3
M3 - Article
AN - SCOPUS:0030096289
SN - 0378-3758
VL - 50
SP - 283
EP - 308
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
IS - 2
ER -