A Lagrange Multiplier Test for Garch Models

This paper extends the Lagrange multiplier (LM) test to testing white noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test for the GARCH alternative is identical to the LM test for an ARCH alternative.


Issue Date:
Mar 01 1991
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267154
Language:
English
Total Pages:
16
Series Statement:
Working Paper No. 3/91




 Record created 2018-01-24, last modified 2018-01-25

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