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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

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  • Dufour, J.M.
  • Khalaf, L.
  • Bernard, J.T.
  • Genest, I.

Abstract

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

Suggested Citation

  • 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.
  • Handle: RePEc:mtl:montec:2001-08
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    More about this item

    Keywords

    REGRESSION ANALYSIS ; ECONOMIC MODELS ; TESTS;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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