The authors apply the White information matrix test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the En gle Lagrange multiplier test for autoregressive conditional heteroskedasticity. Given A. D. Chesher's interpretation of the information matrix test as a test for parameter heterogeneity, this establishes a connection among the information matrix test, autoregressive conditional heteroskedasticity, and parameter variation. This also enables the authors to specify conditional heteroskedasticity in a m ore general and convenient way. Other interesting by-products of their analysis are tests for the variation in conditional and static skewn ess that the authors call tests for "heterocliticity." Copyright 1993 by The Review of Economic Studies Limited.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 60 (1993) Issue (Month): 1 (January) Pages: 229-40 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)