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Testing for ARCH in ARCH-in-Mean Model

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Author Info

  • Param Silvapulle

    (School of Economics, La Trobe University)

  • Mervyn J Silvapulle

    (School of Economics, La Trobe University)

  • A B M Rabiul Alam Beg

    (School of Economics, La Trobe University)

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    Abstract

    An issue that arises in applications involving the ARCH-in-Mean (ARCH-M) model is whether or not the error variance is constant over time. A proper statistical formulation of this as a test of hypothesis presents two difficulties. First, the model does not satisfy the standard regularity conditions because a nuisance parameter becomes unidentified under the null hypothesis and consequently the usual tests, such as the Lagrange Multiplier test, and their distribution theory require modification.

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    Bibliographic Info

    Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1997.24.

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    Length: 18 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:trb:wpaper:1997.24

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    Related research

    Keywords: Models; Testing;

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