A Radial Basis Function Artificial Neural Network Test for ARCH
We propose a test for ARCH that uses a radial basis function artificial neural network. It outperforms alternative neural network tests in a variety of Monte Carlo experiments.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Sep 1999|
|Contact details of provider:|| Postal: 2 Dean Trench Street Smith Square London SW1P 3HE|
Web page: http://niesr.ac.uk
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, "undated". "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Tom Doan, "undated". "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Russell Davidson & James G. MacKinnon, 1994.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
903, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Peguin-Feissolle, Anne, 1999.
"A comparison of the power of some tests for conditional heteroscedasticity,"
Elsevier, vol. 63(1), pages 5-17, April.
- Anne Peguin-Feissolle, 1999. "A comparison of the power of some tests for conditional heteroscedasticity," Post-Print halshs-00390157, HAL.
- Peguin-Feissolle, A., 1999. "A Comparison of the Power of Some Tests for Conditional Heteroscedasticity," G.R.E.Q.A.M. 99a22, Universite Aix-Marseille III.
- Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-366, December.
- Arup Bose, 1990. "Bootstrap in moving average models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(4), pages 753-768, December.
When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:188. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library & Information Manager)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.