Combined Lagrange multiplier test for ARCH in vector autoregressive models

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• 作者：P.S. Catani ^{paul.catani@hanken.fi} ; N.J.C. Ahlgren ; ^{niklas.ahlgren@hanken.fi}
• 关键词：ARCH ; Bootstrap ; Lagrange multiplier test ; Monte Carlo test ; VAR model
• 刊名：Econometrics and Statistics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：1
• 期：Complete
• 页码：62-84
• 全文大小：2504 K
• 卷排序：1

文摘

A bootstrap combined equation-by-equation Lagrange multiplier test for ARCH errors in VAR models is proposed. The test is shown to be asymptotically valid. The test has good finite-sample properties, and is robust against skewed and heavy-tailed errors. Two financial applications of the test to CDS prices and Euribor interest rates are presented.