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Estimation after preliminary test of significance in life testing in the presence of outliers

✍ Scribed by S.K. Johri; V.P. Gupta


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
373 KB
Volume
33
Category
Article
ISSN
0026-2714

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Testing for ARCH in the presence of addi
✍ Dick Van Dijk; Philip Hans Franses; AndrΓ© Lucas πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 279 KB πŸ‘ 2 views

In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely aected if AOs