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Original Articles

Large sample tests for a regression model with autoregressive conditional heteroscedastic errors

Pages 105-117 | Received 01 Nov 1994, Published online: 16 Feb 2011

References

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  • Lee , J.H.H. 1993 . A Lagrange multiplier test for GARCH models . Eco¬nomics Letterss , 37 : 265 – 271 .
  • Lee , J.H.H. and King , M.L. 1993 . A locally most mean powerful based score test for ARCH and GARCH regression disturbances . J. Business Economics and Statistics , 11 : 17 – 27 .
  • Pótscher , B.M. 1991 . Effects of model selection on inference . Econometric Theory , 7 : 163 – 185 .
  • Weiss , A.A. 1986 . Asymptotic theory for ARCH models: estimation and testing . Econometric Theory , 2 : 107 – 131 .

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