A Lagrange Multiplier Test for Garch Models
Lee, John H. H.
1991

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Abstract

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.

Details

Title A Lagrange Multiplier Test for Garch Models
Keywords
Author(s) Lee, John H. H.
Subject(s)
Issue Date Mar 01 1991
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.267154
Record Identifier https://ageconsearch.umn.edu/record/267154
Language English
Total Pages 16
Series Statement Working Paper No. 3/91
Record Appears in Monash University > Department of Econometrics and Business Statistics Working Papers

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