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Testing for Smooth Transition Nonlinearity in the Presence of Outliers

✍ Scribed by Dick Van Dijk, Philip Hans Franses and André Lucas


Book ID
124697594
Publisher
American Statistical Association
Year
1999
Tongue
English
Weight
920 KB
Volume
17
Category
Article
ISSN
0735-0015

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Testing for ARCH in the presence of addi
✍ Dick Van Dijk; Philip Hans Franses; André Lucas 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 279 KB 👁 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