macrousa.dat
Creators:
Dick van Dijk
;
Philip Hans Franses
;
Andre Lucas
From the dataset abstract
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of...
Source: Testing for ARCH in the presence of additive outliers (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | dat |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/e0600f20-89fe-445e-8a28-b305a9cf59d5/resource/f7bba65a-991e-4373-a2ae-7c312a0435ec/download/macrousa.dat |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
