Modified lagrange multiplier tests for problems with one-sided alternatives
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 31 (1986)
Issue (Month): 3 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
- Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August.
- Abadir, Karim M. & Distaso, Walter, 2007.
"Testing joint hypotheses when one of the alternatives is one-sided,"
Journal of Econometrics,
Elsevier, vol. 140(2), pages 695-718, October.
- K Abadir & W Distaso, . "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
- Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
- Donald W.K. Andrews, 1994.
"Hypothesis Testing with a Restricted Parameter Space,"
Cowles Foundation Discussion Papers
1060R, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May.
- Francq, Christian & Zakoian, Jean-Michel, 2008.
"Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons,"
16672, University Library of Munich, Germany.
- Francq, Christian & ZakoÃ¯an, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
- Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Centre de Recherche en Economie et Statistique.
- Shi, Xiuhong & Kobayashi, Masahito, 2009. "Testing for jumps in the EGARCH process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2797-2808.
- Christian Francq & Jean-Michel ZakoÃ¯an, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.