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Information Matrix Test, Parameter Heterogeneity and Arch : A Synthesis

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  • Bera, A.K
  • Lee, S.

Abstract

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  • Bera, A.K & Lee, S., 1991. "Information Matrix Test, Parameter Heterogeneity and Arch : A Synthesis," Papers 9154, Tilburg - Center for Economic Research.
  • Handle: RePEc:fth:tilbur:9154
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    Cited by:

    1. Bera, A.K. & Ullah, A., 1991. "Rao's Score Test in Econometrics," Papers 9143, Tilburg - Center for Economic Research.
    2. Marwan Elkhoury, 2005. "A Time-Varying Parameter Model of A Monetary Policy Rule for Switzerland. The Case of the Lucas and Friedman Hypothesis," IHEID Working Papers 01-2006, Economics Section, The Graduate Institute of International Studies.
    3. Gómez-Déniz, E., 2004. "A note on mixture prior distributions with applications in actuarial statistic/Sobre las Distribuciones a Priori Mixtas con Aplicaciones en la Estadística Actuarial," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 372(15á)-37, Agosto.
    4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.

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    Keywords

    tests ; econometrics ; information;

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