Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест ARCH-LM на кластеризацію волатильності× | Тест Вайта на гетероскедастичність× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1982 | 1980 |
| Автор методу≠ | Robert F. Engle | Halbert White |
| Тип≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | General 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 ↗ | White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. DOI ↗ |
| Інші назви≠ | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity | White's general heteroskedasticity test, White 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 White test, introduced by Halbert White in 1980, is a general test for heteroskedasticity that makes no assumption about its functional form. It regresses the squared OLS residuals on the regressors, their squares, and their cross-products, so it can detect heteroskedasticity related to any of these terms. The same 1980 paper introduced the heteroskedasticity-consistent ('White') standard errors that are the standard remedy when the test rejects. |
| ScholarGateНабір даних ↗ |
|
|