John H H Lee
Biographic Data
| ID | 8920664 |
|---|---|
| NAME | John H H Lee |
| GIVEN NAMES | John H H |
| FAMILY NAME | Lee |
| SIGNATURE | LEE J H H |
| AFFILIATIONS | Monash University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1993 |
| LATEST PUBLICATION YEAR | 1993 |
| H-INDEX | 0 |
A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances
This article considers the twin problems of testing for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH disturbances in the linear regression model. A feature of these testing problems, ignored by the standard Lagrange multiplier test, is that they are onesided in nature. A test that exploits this one-sided aspect is constructed based on the sum of the scores. The small-sample-size and power properties of two versions of…
No prominent works on this page.
A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances
This article considers the twin problems of testing for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH disturbances in the linear regression model. A feature of these testing problems, ignored by the standard Lagrange multiplier test, is that they are onesided in nature. A test that exploits this one-sided aspect is constructed based on the sum of the scores. The small-sample-size and power properties of two versions of…
Applied Mathematics (1 work) · Arch (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Heteroscedasticity (1 work) · Kurtosis (1 work) · Lagrange multiplier (1 work) · Market Dynamics and Volatility (1 work)