Testing for ARCH in ARCH-in-Mean Model

Param Silvapulle, Mervyn Silvapulle and A Beg
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Param Silvapulle: School of Economics, La Trobe University
Mervyn Silvapulle: School of Economics, La Trobe University
A Beg: School of Economics, La Trobe University

No 1997.24, Working Papers from School of Economics, La Trobe University

Abstract: An issue that arises in applications involving the ARCH-in-Mean (ARCH-M) model is whether or not the error variance is constant over time. A proper statistical formulation of this as a test of hypothesis presents two difficulties. First, the model does not satisfy the standard regularity conditions because a nuisance parameter becomes unidentified under the null hypothesis and consequently the usual tests, such as the Lagrange Multiplier test, and their distribution theory require modification.

Keywords: Models; Testing (search for similar items in EconPapers)
Pages: 18 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1997.24

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