IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/bf71e9fe-03a8-48f0-8a72-0de55d315edb.html

Some searches may not work properly. We apologize for the inconvenience.

   My bibliography  Save this paper

Information matrix test, parameter heterogeneity and ARCH : A synthesis

Author

Listed:
  • Bera, A.K.

    (Tilburg University, School of Economics and Management)

  • Lee, S.

Abstract

No abstract is available for this item.

Suggested Citation

  • Bera, A.K. & Lee, S., 1993. "Information matrix test, parameter heterogeneity and ARCH : A synthesis," Other publications TiSEM bf71e9fe-03a8-48f0-8a72-0, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:bf71e9fe-03a8-48f0-8a72-0de55d315edb
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/5466720/BAKLS5612951.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. van Wijnbergen, Sweder, 1992. "Intertemporal Speculation, Shortages and the Political Economy of Price Reform," Economic Journal, Royal Economic Society, vol. 102(415), pages 1395-1406, November.
    2. Bomze, I.M. & van Damme, E.E.C., 1990. "A dynamical characterization of evolutionarily stable states," Discussion Paper 1990-45, Tilburg University, Center for Economic Research.
    3. Borm, Peter & Keiding, H & McLean, R.P. & Oortwijn, S & Tijs, S, 1992. "The Compromise Value for NTU-Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(2), pages 175-189.
    4. van de Klundert, T.C.M.J. & Smulders, J.A., 1991. "Reconstructing growth theory : A survey," Other publications TiSEM 19355c51-17eb-4d5d-aa66-b, Tilburg University, School of Economics and Management.
    5. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
    6. Wansbeek, Tom & Kapteyn, Arie, 1989. "Estimation of the error-components model with incomplete panels," Journal of Econometrics, Elsevier, vol. 41(3), pages 341-361, July.
    7. Baye, Michael R. & Kovenock, Dan & de Vries, Casper G., 1992. "It takes two to tango: Equilibria in a model of sales," Games and Economic Behavior, Elsevier, vol. 4(4), pages 493-510, October.
    8. Rankin, Neil, 1992. "Imperfect Competition, Expectations and the Multiple Effects of Monetary Growth," Economic Journal, Royal Economic Society, vol. 102(413), pages 743-753, July.
    9. Maschler, M. & Potters, J.A.M. & Tijs, S.H., 1992. "The general nucleolus and the reduced game property," Other publications TiSEM ab187dab-1b5b-40c3-a673-8, Tilburg University, School of Economics and Management.
    10. Bester, Helmut, 1992. "Bertrand Equilibrium in a Differentiated Duopoly," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 433-448, May.
    11. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    12. Bera, Anil K. & Jarque, Carlos M., 1982. "Model specification tests : A simultaneous approach," Journal of Econometrics, Elsevier, vol. 20(1), pages 59-82, October.
    13. Zou, L., 1993. "Ownership structure and efficiency : An incentive mechanism approach," Other publications TiSEM a72a05c2-b3f2-47c7-a003-f, Tilburg University, School of Economics and Management.
    14. Marini, Giancarlo & van der Ploeg, Frederick, 1988. "Monetary and Fiscal Policy in an Optimising Model with Capital Accumulation and Finite Lives," Economic Journal, Royal Economic Society, vol. 98(392), pages 772-786, September.
    15. Nijman, Theo & Verbeek, Marno, 1992. "Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 243-257, July-Sept.
    16. Hoque, Asraul & Magnus, Jan R. & Pesaran, Bahram, 1988. "The exact multi-period mean-square forecast error for the first-order autoregressive model," Journal of Econometrics, Elsevier, vol. 39(3), pages 327-346, November.
    17. Greenberg, Joseph, 1992. "On the Sensitivity of von Neumann and Morgenstern Abstract Stable Sets: The Stable and the Individual Stable Bargaining Set," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(1), pages 41-55.
    18. 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.
    19. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-872, July.
    20. Maschler, M & Potters, J A M & Tijs, S H, 1992. "The General Nucleolus and the Reduced Game Property," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(1), pages 85-106.
    21. Deschamps, Philippe J, 1992. "Expectations and Intertemporal Separability in an Empirical Model of Consumption and Investment under Uncertainty," Empirical Economics, Springer, vol. 17(3), pages 419-450.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    2. Strijbosch, L.W.G. & Heuts, R.M.J., 1994. "Investigating several alternatives for estimating the lead time demand distribution in a continuous review inventory model," Other publications TiSEM dc1f886c-0122-4da9-9598-8, Tilburg University, School of Economics and Management.
    3. 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.
    4. Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
    5. 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 Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 372(15á)-37, Agosto.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Theodore E. Nijman & Roel Beetsma, 1991. "Empirical Tests of a Simple Pricing Model for Sugar Futures," Annals of Economics and Statistics, GENES, issue 24, pages 121-131.
    2. Zou, L., 1993. "Ownership structure and efficiency : An incentive mechanism approach," Other publications TiSEM a72a05c2-b3f2-47c7-a003-f, Tilburg University, School of Economics and Management.
    3. Verbeek, M.J.C.M. & Nijman, T.E., 1993. "Incomplete panels and selection bias : A survey," Other publications TiSEM 08061352-957b-4f56-b303-9, Tilburg University, School of Economics and Management.
    4. Eijffinger, S.C.W. & Gruijters, A.P.D., 1989. "On the effectiveness of daily interventions by the Deutsche Bundesbank and the federal reserve system in the U.S. Dollar-Deutsche Mark exchange market," Other publications TiSEM cd65eff1-5f9e-4262-8f38-b, Tilburg University, School of Economics and Management.
    5. Eijffinger, S.C.W., 1993. "Central bank independence in twelve industrial countries," Other publications TiSEM 0401b17a-e2c7-4179-ace9-a, Tilburg University, School of Economics and Management.
    6. Fershtman, C. & de Zeeuw, A.J., 1993. "Capital accumulation and entry deterrence : A clarifying note," Other publications TiSEM 8c7c65ba-40e5-42a4-96af-0, Tilburg University, School of Economics and Management.
    7. Verbon, H.A.A. & Verhoeven, M.J.M., 1993. "Decision making on pension schemes under rational expectations," Other publications TiSEM c3143bc8-ccb5-473d-9a6b-3, Tilburg University, School of Economics and Management.
    8. Härdle, W.K. & Tsybakov, A.B., 1994. "How sensitive are average derivatives?," Other publications TiSEM 07ea66d2-29d5-4ec9-a59d-8, Tilburg University, School of Economics and Management.
    9. Bovenberg, A.L., 1994. "Investment-promoting policies in open economies : The importance of intergenerational and international distributional effects," Other publications TiSEM be140a39-7a76-4f99-8a61-2, Tilburg University, School of Economics and Management.
    10. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
    11. Karl Wärneryd, 1993. "Anarchy, Uncertainty, And The Emergence Of Property Rights," Economics and Politics, Wiley Blackwell, vol. 5(1), pages 1-14, March.
    12. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
    13. Verbeek, M.J.C.M. & Nijman, T.E., 1994. "Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections," Other publications TiSEM 702ff7bc-dfba-4834-8d71-f, Tilburg University, School of Economics and Management.
    14. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    15. Hans G. Bloemen & Arie Kapteyn, 1993. "The Joint Estimation of a Non-Linear Labour Supply Function and a Wage Equation Using Simulated Response Probabilities," Annals of Economics and Statistics, GENES, issue 29, pages 175-205.
    16. Almekinders, Geert J & Eijffinger, Sylvester C W, 1994. "Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?," Empirical Economics, Springer, vol. 19(1), pages 111-130.
    17. Baye, Michael R. & Kovenock, Dan & de Vries, Casper G., 1992. "It takes two to tango: Equilibria in a model of sales," Games and Economic Behavior, Elsevier, vol. 4(4), pages 493-510, October.
    18. Strijbosch, L.W.G. & Heuts, R.M.J., 1994. "Investigating several alternatives for estimating the lead time demand distribution in a continuous review inventory model," Other publications TiSEM dc1f886c-0122-4da9-9598-8, Tilburg University, School of Economics and Management.
    19. Borm, Peter & Keiding, H & McLean, R.P. & Oortwijn, S & Tijs, S, 1992. "The Compromise Value for NTU-Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(2), pages 175-189.
    20. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:bf71e9fe-03a8-48f0-8a72-0de55d315edb. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.