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The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
Pavlidis, Efthymios G., Tsionas, MikeLanguage:
english
Journal:
Studies in Nonlinear Dynamics & Econometrics
DOI:
10.1515/snde-2016-0055
Date:
January, 2017
File:
PDF, 340 KB
english, 2017