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A Radial Basis Function Artificial Neural Network Test for ARCH

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Author Info
Andrew P Blake
George Kapetanios

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Abstract

We propose a test for ARCH that uses a radial basis function artificial neural network. It outperforms alternative neural network tests in a variety of Monte Carlo experiments.

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File URL: http://www.niesr.ac.uk/pubs/dps/dp154.pdf
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Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 154.

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Date of creation: Sep 1999
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Handle: RePEc:nsr:niesrd:154

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  1. Tae-Hwy Lee, 2001. "Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4), pages 1063-1063. [Downloadable!] (restricted)
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