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Modified lagrange multiplier tests for problems with one-sided alternatives

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  • Rogers, Alan J.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-46VV78N-6/2/4afc609739b99f18853cfe6c98ffcc86
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 31 (1986)
    Issue (Month): 3 (April)
    Pages: 341-361

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    Handle: RePEc:eee:econom:v:31:y:1986:i:3:p:341-361

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

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    Cited by:
    1. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
    7. 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.
    8. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.

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