Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

A-Tier

Journal: Journal of Econometrics

Year: 2004

Volume: 122

Issue: 2

Pages: 317-347

Authors (4)

Dufour, Jean-Marie (McGill University) Khalaf, Lynda (Carleton University) Bernard, Jean-Thomas (Université d'Ottawa / Universi...) Genest, Ian (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count