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Consistency tests for heteroskedastic and risk models

Author

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  • Adián R. Pagan

    (University of Rochester)

  • Hernán Sabau

    (Operadora de Bolsa)

Abstract

This paper considers a class of consistency tests for the specification of heteroskedastic and risk models. The tests are related to other procedures such as the conditional moment tests of Newey and Tauchen, Hausman's tests, White's tests, the variable addtion Lagrange multiplier tests of Engle and Pagan, and the residual analysis of Pagan and Hall. The power of the consistency tests in the presence of local departures is analyzed and the risk premia model of Engle, Lilien and Robins is re-assessed.

Suggested Citation

  • Adián R. Pagan & Hernán Sabau, 1992. "Consistency tests for heteroskedastic and risk models," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(1), pages 3-30.
    • Handle: RePEc:emx:esteco:v:7:y:1992:i:1:p:3-30
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/307/310
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    References listed on IDEAS

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    6. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
    7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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