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Preliminary test interval estimation in life testing in the presence of outliers

✍ Scribed by S.K. Johri; V.P. Gupta

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

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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