Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models
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- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004.
"Simulation-based finite-sample tests for heteroskedasticity and ARCH effects,"
Journal of Econometrics,
Elsevier, vol. 122(2), pages 317-347, October.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
- Beg, A B M Rabiul A & Silvapulle, Mervyn J & Silvapulle, Paramsothy, 2001. "Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only under the Alternative: Test of ARCH in ARCH-M Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 245-253, April.
- Emma Iglesias & Garry Phillips, 2011. "Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 303-336.
- Furno, Marilena, 2000. "Lm Tests In The Presence Of Non-Normal Error Distributions," Econometric Theory, Cambridge University Press, vol. 16(02), pages 249-261, April.
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(05), pages 946-961, October. Full references (including those not matched with items on IDEAS)
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