Testing for conditional heteroskedasticity with misspecified alternative hypotheses

Author: Dastoor N.K.

Source: Journal of Econometrics, Volume 82, Number 1, January 1998 , pp. 63-80(18)

Publisher: Elsevier

Keywords: Asymptotic local power; Conditional heterokurticity; Conditional heteroskedasticity; Lagrange multiplier statistic; Misspecified alternative; [JEL classification codes] C12

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S0304-4076(97)88956-7

Affiliations: 1: Department of Economics, University of Alberta, Edmonton, Alberta, T6G 2H4, Canada

Publication date: 1998-01-01

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• By this author: Dastoor N.K.

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