13-vol. 7, núm. 1, enero-junio, 1992
Artículos

Pruebas de consistencia para modelos heteroscedásticos y de riesgo

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  • Adrian R. Pagan,
  • Hernán Sabau
Adrian R. Pagan
University of Rochester
Hernán Sabau
Operadora de Bolsa
DOI: https://doi.org/10.24201/ee.v7i1.307

Publicado 1992-01-01

Palabras clave

  • pruebas de consistencia,
  • modelo de Engle,
  • Lilien y Robins

Cómo citar

R. Pagan, A., & Sabau, H. (1992). Pruebas de consistencia para modelos heteroscedásticos y de riesgo. Estudios Económicos De El Colegio De México, 7(1), 3–30. https://doi.org/10.24201/ee.v7i1.307

Métrica

Resumen

Este artículo presenta una clase de pruebas de consistencia en la especificación de modelos heteroscedásticos y de riesgo. Las pruebas están relacionadas con otras ya conocidas, tales como las pruebas de momentos de Newey y Tauchen, las de Hausman, las de White, las de multiplicadores de Lagrange de Engle y Pagan, y el análisis de residuos de Pagan y Hall. Se analiza la potencia de las pruebas de consistencia en presencia de desviaciones locales y se reexamina el modelo de Engle, Lilien y Robins.

 

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Citas

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