A test for the presence of conditional heteroskedasticity within arch-m framework
针对ARCH-M模型中ARCH效应检验时存在的冗余参数不可识别问题，采用Davies方法进行检验，并通过蒙特卡洛模拟考察其有限样本表现。
Abstract This paper is concerned with testing the presence of ARCH within the ARCH-M model as the alternative hypothesis. Standard testing procedures are inapplicable since a nuisance parameter is unidentified under the null hypothesis. Nonetheless, the diagnostic tests for the presence of the conditional variance is very important since any misspecification in the conditional variance equation leads to inconsistent estimates of the conditional mean parameters. BTo resolve the problem of unidentified nuisance parameter, 'Ne apply Davies' approach, and investigate its finite sample performance through a Monte Carlo study. Keywords: ARCHARCH-MDavies' TestLM TestNon-Standard Problem