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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

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  • Dufour, Jean-Marie
  • Khalaf, Lynda
  • Bernard, Jean-Thomas
  • Genest, Ian

Abstract

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 122 (2004)
Issue (Month): 2 (October)
Pages: 317-347

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Handle: RePEc:eee:econom:v:122:y:2004:i:2:p:317-347

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  4. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
  5. DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Universite de Montreal, Departement de sciences economiques.
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  9. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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