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A Test for Multivar...
A Test for Multivariate ARCH Effects
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- Hacker, R Scott (författare)
- Jönköping University,IHH, Nationalekonomi,Jönköping International Business School, PO Box 1026, SE-551 11 Jönköping, Sweden
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- Hatemi-J, Abdulnasser (författare)
- Högskolan i Skövde,Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM,Institutionen för teknik och samhälle
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(creator_code:org_t)
- 2006-08-19
- 2005
- Engelska.
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 12:7, s. 411-417
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Abstract
Ämnesord
Stäng
- This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- multivariate
- ARCH
- LM test
- VAR
- bootstrap
- Econometrics
- Ekonometri
- Humanities and Social sciences
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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