Specification test for a linear regression model with ARCH process

Author:

Bera Anil K.,Zuo Xiao-Lei

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference37 articles.

1. Asymptotic properties of maximum likelihood estimators for stochastic processes;Basawa;Sankhya,1976

2. Model specification test: a simultaneous approach;Bera;J. Econometrics,1982

3. A survey of ARCH models: properties, estimation and testing;Bera;J. Economic. Surveys,1993

4. Information matrix test, parameter heterogeneity and ARCH: a synthesis;Bera;Rev. Economic Stud.,1993

5. Alternative forms and properties of the score test;Bera;J. Appl. Statist.,1986

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