Statements (20)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:alternativeTo |
presence of ARCH effects
|
| gptkbp:appliesTo |
time series data
|
| gptkbp:citation |
Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
|
| gptkbp:field |
statistics
econometrics |
| https://www.w3.org/2000/01/rdf-schema#label |
Engle's ARCH test
|
| gptkbp:input |
regression residuals
|
| gptkbp:nullHypothesis |
no ARCH effects
|
| gptkbp:output |
p-value
test statistic |
| gptkbp:proposedBy |
gptkb:Robert_F._Engle
|
| gptkbp:publishedIn |
gptkb:Econometrica
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:type |
gptkb:Lagrange_multiplier_test
|
| gptkbp:usedFor |
detecting autoregressive conditional heteroskedasticity
|
| gptkbp:yearProposed |
1982
|
| gptkbp:bfsParent |
gptkb:Lagrange_multiplier_test
|
| gptkbp:bfsLayer |
8
|