| Автор | Higgins, M. L. |
| Автор | Bera, A. K. |
| Дата выпуска | 1998 |
| dc.description | In this paper we argue that a simultaneous test for ARCH and bilinearity should be used to test for the possible nonlinearity of the error process in the regression model. We suggest such a joint test statistic. An empirical example shows that the individual tests of ARCH and bilinearity may not be conclusive while a joint test clearly rejects the linearity hypothesis. Our results are also applicable to pure time series models. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Additivity |
| Тема | ARCH |
| Тема | Bilinearity |
| Тема | Lagrange Multiplier Test |
| Название | A joint test for arch and bilinearity in the regression model |
| Тип | research-article |
| DOI | 10.1080/07474938808800151 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 7 |
| Первая страница | 171 |
| Последняя страница | 181 |
| Аффилиация | Higgins, M. L.; Department of Economics, University of Wisconsin-Milwaukee |
| Аффилиация | Bera, A. K.; Department of Economics, University of Illinois |
| Выпуск | 2 |
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