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Applied Economics Letters Volume 12, 2005 - Issue 7
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Original Articles

A test for multivariate ARCH effects

R. Scott Hacker Jönköping International Business School, PO Box 1026, SE-551 11, Jönköping, Sweden
&
Abdulnasser Hatemi-J * Department of Economics, University of Skövde, PO Box 408, SE-541 28, Skövde, Sweden; Department of Statistics, Lund University, SE-22007, Lund, Sweden
Pages 411-417 | Published online: 19 Aug 2006

References

References

  • Anderson TW 1958 An Introduction to Multivariate Statistical Analysis, Wiley New York
  • Davison AC Hinkley DV 1999 Bootstrap Methods and their Application, Cambridge University Press Cambridge
  • Efron , B . 1979 . Bootstrap methods: another look at the jackknife . Annals of Statistics , 7 : 1 – 26 .
  • Engle , R . 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom iflation . Econometrica , 50 : 987 – 1007 .
  • Hatemi-J , A . 2003 . A new method to choose optimal lag order in stable and unstable VAR models . Applied Economics Letters , 10 : 135 – 7 .
  • Hatemi-J , A . 2004 . Multivariate tests for autocorrelation in stable and unstable VAR models . Economic Modelling , 21 : 661 – 83 .
  • Johansen S 1996 Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Advanced Texts in Econometrics, Oxford University Press New York
  • Sims , CA . 1980 . Macroeconomics and reality . Econometrica , 48 : 1 – 28 .

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