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

Jean-Marie Dufour (), Lynda Khalaf (), Jean-Thomas Bernard () and . Genest

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

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

Keywords: REGRESSION ANALYSIS; ECONOMIC MODELS; TESTS (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2001
View citations in EconPapers

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects (2001)
Working Paper: Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects (2001)
Journal Article: Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mtl:montec:2001-08

Access Statistics for this paper

More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ
Contact information at EDIRC.
Series data maintained by Sharon BREWER ().