Omitted Asymmetric Persistence and Conditional Heteroskedasticity

We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools.

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Year of publication:	2006-02-20
Authors:	Lima, Luiz ; Neri, Breno
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2006, 5, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010836088