Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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
A Test for Multivariate ARCH Effects
Jönköping University, Jönköping International Business School, JIBS, Economics.
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
2005. Vol. 12, no 7, p. 411-417
Keywords [en]
multivariate, ARCH, LM test, VAR, bootstrap
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-2548DOI: doi:10.1080/13504850500092129OAI: oai:DiVA.org:hj-2548DiVA, id: diva2:33368
Available from: 2007-06-14 Created: 2007-06-14 Last updated: 2017-12-12Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full texthttp://www.metapress.com/content/j2832u33l3wk6q4h/fulltext.pdf

Authority records BETA

Hacker, R Scott

Search in DiVA

By author/editor
Hacker, R Scott
By organisation
JIBS, Economics
In the same journal
Applied Economics Letters
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 354 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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