کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097424 | 1376588 | 2007 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
Tests of ARCH are a routine diagnostic in empirical econometric and financial analysis. However, it is well known that misspecification of the conditional mean may lead to spurious rejection of the null hypothesis of no ARCH. Nonlinearity is a prime example of this phenomenon. There is little work on the extent of the effect of neglected nonlinearity on the properties of ARCH tests. We investigate this using new ARCH testing procedures that are robust to the presence of neglected nonlinearity. Monte Carlo evidence shows that the problem is serious and that the new methods alleviate this problem to a very large extent. We apply the new tests to exchange rate data and find substantial evidence of spurious rejection of the null hypothesis of no ARCH.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 137, Issue 2, April 2007, Pages 472-488
Journal: Journal of Econometrics - Volume 137, Issue 2, April 2007, Pages 472-488
نویسندگان
Andrew P. Blake, George Kapetanios,