Pruebas de consistencia para modelos heteroscedásticos y de riesgo

This paper considers a class of consistency tests for the specification of heteroskedastic and risk models. The tests are related to other procedures such as the conditional moment tests of Newey and Tauchen, Hausman's tests, White's tests, the variable addition Lagrange multiplier tests o...

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主要作者:	R. Pagan, Adrian, Sabau, Hernán
格式:	Online
語言:	英语
出版:	El Colegio de México, A.C. 1992
主題:	Lilien y Robins modelo de Engle pruebas de consistencia Lilie and Robins model Engle consistency tests
在線閱讀:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/307
機構:	Estudios Económicos