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- W1513547922 abstract "The LM type linearity test for STAR nonlinearities is severely distorted when the process is governed by conditional heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap test is almost exact." @default.
- W1513547922 created "2016-06-24" @default.
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- W1513547922 date "1999-05-11" @default.
- W1513547922 modified "2023-09-27" @default.
- W1513547922 title "An ARCH Robust STAR Test" @default.
- W1513547922 hasPublicationYear "1999" @default.
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