𝔖 Bobbio Scriptorium
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Repeated testing for outliers

✍ Scribed by Douglas M. Hawkins

Book ID
115224580
Publisher
John Wiley and Sons
Year
1973
Tongue
English
Weight
329 KB
Volume
27
Category
Article
ISSN
0039-0402

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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