| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9549396 | Economics Letters | 2005 | 7 Pages |
Abstract
In this paper a robust likelihood ratio test is proposed for drawing inference on the conditional variance parameters in the GARCH model. The test is simple to compute, and its finite sample properties with respect to size and power are comparable to those of robust Wald and Lagrange multiplier statistics.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Thomas Busch,