Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест ARCH-LM на кластеризацію волатильності× | Тест Бройша-Пагана на гетероскедастичність× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1982 | 1979 |
| Автор методу≠ | Robert F. Engle | Trevor Breusch & Adrian Pagan |
| Тип≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | Lagrange-multiplier test for heteroskedasticity |
| Основоположне джерело≠ | Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. DOI ↗ | Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294. DOI ↗ |
| Інші назви≠ | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity | BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi |
| Пов'язані≠ | 6 | 3 |
| Підсумок≠ | The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. | The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated. |
| ScholarGateНабір даних ↗ |
|
|