Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach

REFERENCES

• Andel , J. 1976 . “Autoregressive Series With Random Parameters,” . Mathematische Operationsforschung und Statistik, Series Statistics , 7 : 736 – 741 .
   Google Scholar
• Bera , A. K. , Bubnys , E. and Park , H. 1988 . “Conditional Heteroskedasticity in the Market Model and Efficient Estimates of Betas,” . Financial Review , 23 : 201 – 214 .
   Google Scholar
• Bera , A. K. and Lee , S. “Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis,” . Review of Economic Studies , 58 (in press)
   Google Scholar
• Bera , A. K. , Lee , S. and Higgins , M. L. 1990a . “Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficient Approach,” , University of California, San Diego, Dept, of Economics . Discussion Paper 90–25
   Google Scholar
• Bera , A. K. , Lee , S. and Higgins , M. L. 1990b . “On the Formulation of a General Structure of Conditional Heteroskedasticity,” , University of California, San Diego, Dept, of Economics . Discussion Paper 90–41
   Google Scholar
• Bollerslev , T. , Chou , R. Y. and Kroner , K. F. “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” . Journal of Econometrics , 51 (in press)
   Google Scholar
• Brown , B. W. and Maital , S. 1981 . “What Do Economists Know? An Empirical Study of Expert's Expectations,” . Econometrica , 49 : 491 – 504 .
   Web of Science ®Google Scholar
• Chan-Lee , J. H. 1980 . “A Review of Recent Work in the Area of Inflationary Expectations,” . Welwirtschaftliches Archiv , 116 : 45 – 85 .
   Google Scholar
• Chesher , A. D. 1984 . “Testing for Neglected Heterogeneity,” . Econometrica , 52 : 865 – 872 .
   Web of Science ®Google Scholar
• Diebold , F. X. “Testing for Serial Correlation in the Presence of ARCH,” . Proceedings of the Business and Economic Statistics Section . pp. 323 – 328 . American Statistical Association .
   Google Scholar
• Diebold , F. X. and Nerlove , M. 1987 . “Factor Structure in a Multivariate ARCH Model of Exchange Rate Fluctuations,” . In Proceedings of the Second International Tampere Conference in Statistics , Edited by: Pukkila , T. and Puntanen , S. 429 – 438 . Tampere , , Finland : Department of Mathematical Sciences/Statistics, University of Tampere .
   Google Scholar
• Diebold , F. X. and Nerlove , M. 1989 . “The Dynamics of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model,” . Journal of Applied Econometrics. , 4 : 1 – 22 .
   Web of Science ®Google Scholar
• Engle , R. F. 1982 . “Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation,” . Econometrica , 50 : 987 – 1007 .
   Web of Science ®Google Scholar
• Engle , R. F. and Bollerslev , T. 1986 . “Modelling in the Persistence of Conditional Variances,” . Econometric Reviews , 5 : 1 – 50 .
   Google Scholar
• Engle , R. R. , Hendry , D. and Trumble , D. 1985 . “Small-sample Properties of ARCH Estimates and Tests,” . Canadian Journal of Economics , 18 : 66 – 93 .
   Web of Science ®Google Scholar
• Figlewski , S. and Wachtel , P. 1981 . “The Formation of Inflationary Expectations,” . Review of Economics and Statistics , 63 : 1 – 10 .
   Web of Science ®Google Scholar
• Hendry , D. F. and Mizon , G. E. 1978 . “Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England,” . Economic Journal , 88 : 549 – 563 .
   Web of Science ®Google Scholar
• Higgins , M. L. and Bera , A. K. 1989 . “A Joint Test for ARCH and Bilinearity in the Regression Model,” . Econometric Reviews , 7 : 171 – 181 .
   Google Scholar
• Higgins , M. L. and Bera , A. K. 1990 . “ARCH and Bilinearity as Competing Models for Nonlinear Dependence,” unpublished manuscript
   Google Scholar
• Higgins , M. L. and Bera , A. K. “A Class of Nonlinear ARCH Models,” . International Economic Review , 33 (in press)
   Google Scholar
• Jarque , C. M. and Bera , A. K. 1987 . “A Test for Normality of Observations and Regression Residuals,” . International Statistical Review , 52 : 1630 – 172 .
   Google Scholar
• Koenker , R. 1981 . “A Note on Studentizing A Test for Heteroscedasticity,” . Journal of Econometrics , 17 : 107 – 112 .
   Web of Science ®Google Scholar
• Milhoj , A. 1985 . “The Moment Structure of ARCH Processes,” . Scandinavian Journal of Statistics , 12 : 281 – 292 .
   Web of Science ®Google Scholar
• Nelson , D. B. 1991 . “Conditional Heteroscedasticity in Asset Returns: A New Approach,” . Econometrica , 59 : 347 – 370 .
   Web of Science ®Google Scholar
• Nicholls , D. F. 1986 . “The Box–Jenkins Approach to Random Coefficient Autoregressive Modelling,” . In Essays in Time Series and Allied Processes: Papers in Honour of E. J. Hannan , Edited by: Gani , J. and Priestly , M. B. special vol. 23A , 231 – 240 . Journal of Applied Probability .
   Google Scholar
• Nicholls , D. F. and Quinn , B. G. 1982 . Random Coefficient Autoregressive Models: An Introduction , New York : Springer-Verlag .
   Google Scholar
• Rao , C. R. 1948 . “Large Sample Tests of Statistical Hypotheses Concerning Several Parameters With Applications to Problems of Estimation,” . Proceedings of the Cambridge Philosophical Society , 44 : 50 – 57 .
   Web of Science ®Google Scholar
• Ray , D. 1983 . “On the Autoregressive Model With Random Coefficients,” . Calcutta Statistical Association Bulletin , 32 : 135 – 142 .
   Google Scholar
• Tsay , R. S. 1987 . “Conditional Heteroscedastic Time Series Models,” . Journal of the American Statistical Association , 82 : 590 – 604 .
   Web of Science ®Google Scholar
• Turnovsky , S. J. 1970 . “Some Empirical Evidence on the Formation of Price Expectations,” . Journal of the American Statistical Association , 65 : 1441 – 1454 .
   Google Scholar
• Weiss , A. A. 1984 . “ARMA Models With ARCH Errors,” . Journal of Time Series Analysis , 5 : 129 – 143 .
   Google Scholar
• Weiss , A. A. 1986 . “Asymptotic Theory for ARCH Models: Estimation and Testing,” . Econometric Theory , 2 : 107 – 131 .
   Google Scholar
• White , H. 1980 . “A Heteroskedasticity-Consistent Matrix Estimator and a Direct Test for Heteroskedasticity,” . Econometrica , 48 : 817 – 838 .
   Web of Science ®Google Scholar
• White , H. 1982 . “Maximum Likelihood Estimation of Misspecified Models,” . Econometrica , 50 : 1 – 25 .
   Web of Science ®Google Scholar
• Wooldridge , J. 1990 . “A Unified Approach to Robust, Regression Based Specification Tests,” . Econometric Theory , 6 : 17 – 43 .
   Web of Science ®Google Scholar