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Testing for the presence of a tremble in economic experiments

✍ Scribed by Peter G. Moffatt; Simon A. Peters


Book ID
105273911
Publisher
Springer
Year
2001
Tongue
English
Weight
507 KB
Volume
4
Category
Article
ISSN
1386-4157

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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