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A Test for Multivariate ARCH Effects
Jönköping International Business School, PO Box 1026, SE-551 11 Jönköping, Sweden.
University of Skövde, School of Technology and Society.
2005 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 12, no 7, p. 411-417Article in journal (Refereed) Published
Abstract [en]

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

Place, publisher, year, edition, pages
Routledge, 2005. Vol. 12, no 7, p. 411-417
National Category
Social Sciences
Research subject
Humanities and Social sciences
Identifiers
URN: urn:nbn:se:his:diva-1633DOI: 10.1080/13504850500092129ISI: 000230307100005Scopus ID: 2-s2.0-22144437066OAI: oai:DiVA.org:his-1633DiVA: diva2:31909
Available from: 2007-08-03 Created: 2007-08-03 Last updated: 2017-12-12Bibliographically approved

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Hatemi-J., Abdulnasser

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CiteExportLink to record
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Citation style
  • apa
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  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf