Engle's (1982) Autoregressive Conditional Heteroscedasticity-Lagrange Multiplier (ARCH-LM) test is the undisputed standard test to detect ARCH. In this article, Monte Carlo (MC) simulations are used to demonstrate that the test's statistical size is biased in finite samples. Two complementing...

According to previous research, standard unit root tests are considered robust to stationary GARCH distortions. These conclusions are in fact correct when the number of observations is extraordinarily high. However, simulation experiments in this study, using more normal sample sizes, reveal...