A New Test for ARCH Effects and Its Finite-Sample Performance
AbstractThe authors propose a test for autoregressive conditional heteroscedasticity based on a weighted sum of the squared sample autocorrelations of squared residuals from a regression, typically with greater weight given to lower-order lags. The tests of R. F. Engle (1982), G. E. P. Box and D. A. Pierce (1970), and G. M. Ljung and G. E. P. Box (1978), are equivalent to the test with equal weighting. The authors' test does not require formulation of an alternative and permits choice of the lag number via data-driven methods. Simulation studies show that the new test performs reasonably well in finite samples especially with greater weight on lower-order lags. The authors apply the test in two empirical examples.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 17 (1999)
Issue (Month): 1 (January)
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- Lumsdaine, Robin L. & Ng, Serena, 1999.
"Testing for ARCH in the presence of a possibly misspecified conditional mean,"
Journal of Econometrics,
Elsevier, vol. 93(2), pages 257-279, December.
- Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
- Gabriele Fiorentini & Enrique Sentana, 2010.
"Dynamic Specification Tests for Static Factor Models,"
Working Paper Series
04_10, The Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
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