Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Klaus Grobys
| Year of publication: |
2015
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| Authors: | Grobys, Klaus |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 48.2015, 3, p. 1189-1202
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| Subject: | Asymmetric heteroskedasticity | Serial correlation | Wild bootstrap | HCCME-based LM test | Simulation | Bootstrap-Verfahren | Bootstrap approach | Heteroskedastizität | Heteroscedasticity | Theorie | Theory | Statistischer Test | Statistical test | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011304126