The spurious effect of ARCH errors on linearity tests : a theoretical note and an alternative maximum likelihood approach
Efthymios G. Pavlidis, Mike Tsionas
| Year of publication: |
Apr 2018
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| Authors: | Pavlidis, Efthymios G. ; Tsionas, Efthymios G. |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 2, p. 1-8
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| Subject: | ARCH | linearity tests | smooth transition models | spurious inference | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897447