论文信息 - A Lagrange Multiplier Test for Garch Models

A Lagrange Multiplier Test for Garch Models

Abstract This paper extends the Lagrange multiplier (LM) test to testing noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test for the GARCH alternative is identical to the LM test for an ARCH alternative

John H. H. Lee

[1] Trevor Stanley Breusch,et al. Some aspects of statistical inference for econometrics , 1978 .

[2] S. D. Silvey,et al. Maximum-Likelihood Estimation Procedures and Associated Tests of Significance , 1960 .

[3] Calyampudi Radhakrishna Rao,et al. Linear Statistical Inference and its Applications , 1967 .

[4] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[5] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .

[6] L. Godfrey. TESTING AGAINST GENERAL AUTOREGRESSIVE AND MOVING AVERAGE ERROR MODELS WHEN THE REGRESSORS INCLUDE LAGGED DEPENDENT VARIABLES , 1978 .

[7] Calyampudi R. Rao,et al. Linear Statistical Inference and Its Applications. , 1975 .

[8] Donald Poskitt,et al. Testing the specification of a fitted autoregressive-moving average model , 1980 .

[9] S. D. Silvey,et al. The Lagrangian Multiplier Test , 1959 .