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• W2034104329 abstract "This paper is concerned with testing the presence of ARCH within the ARCH-M model as the alternative hypothesis. Standard testing procedures are inapplicable since a nuisance parameter is unidentified under the null hypothesis. Nonetheless, the diagnostic tests for the presence of the conditional variance is very important since any misspecification in the conditional variance equation leads to inconsistent estimates of the conditional mean parameters. BTo resolve the problem of unidentified nuisance parameter, ‘Ne apply Davies’ approach, and investigate its finite sample performance through a Monte Carlo study." @default.
• W2034104329 created "2016-06-24" @default.
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• W2034104329 date "1995-01-01" @default.
• W2034104329 modified "2023-09-23" @default.
• W2034104329 title "A test for the presence of conditional heteroskedasticity within arch-m framework" @default.
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• W2034104329 doi "https://doi.org/10.1080/07474939508800332" @default.
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