A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun

doi:10.1080/07474938.2017.1307311

Cited by 8 publications

(10 citation statements)

References 27 publications

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“…The random effects linear regression is a prominent example; Breusch and Pagan's LM test for random effects in a linear model is based on pooled ordinary least square residuals, while estimation of the alternative model involves generalized least squares either based on a two steps procedure or maximum likelihood (19,20).…”

Section: Resultsmentioning

confidence: 99%

The Role of Corruption and Healthcare Expenditure in Healthcare Systems of the Persian Gulf Region

Asghari¹

2016

Iran J Health Sci

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Background and Purpose: More than a third of the world's population lack access to essential medicines, despite the presence of several international agreements that proclaim health as a human right. Corruption, in its many forms, such as bribery and embezzlement, causes several detrimental effects on the health sector and access to medicines including economic, health, and government image and trust issues. Global health corruption remains a serious, ongoing, and under-recognized threat to global health progress. This paper aim is examination how global corruption and health-care expenditure (HE) affect health statue in the Persian Gulf countries over 1980-2014 and what can be done to combat corruption in the health sector. Materials and Methods:This study is an experimental and applied research. To verify the consistency of the results of the model, this study used the appropriate panel data analysis methods such as feasible general least square method for the nine Persian Gulf countries over 1980-2014. I employ different panel data procedures to avoid estimation problems, namely, autocorrelation and heteroskedasticity. The used package id Stata version 14Results: The level of gross domestic product per capita, the level of corruption in the country, per capita HE, the quality of air and water, population density levels have negative effect on region people's life expectancy, but the index of environmental policy and the education, measured as years of education obtained, have positive effect on region people's life expectancy over 1980-2014. Conclusion:The results indicate that corruption and HE have negative effect on the Persian Gulf region people's life expectancy.

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Section: Resultsmentioning

confidence: 99%

The Role of Corruption and Healthcare Expenditure in Healthcare Systems of the Persian Gulf Region

Asghari¹

2016

Iran J Health Sci

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“…The Panel Data Regression was the foundation of this process. Several alternative models were selected by several possible tests, including the Chow Test [14] , Lagrange Multiplier Test [15] , and Hausman Test [16] . The Classic Assumption Test was conducted to select the FEM or PLS model, namely the Heteroscedasticity Test [17] and an Autocorrelation Test [18] .…”

Section: Methods Detailsmentioning

confidence: 99%

Flypaper effect assessment methods in the expansion of regional autonomy

et al. 2021

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Flypaper Effect is a public finance term that indicates a government grant given to recipient cities increases the local community spending level more than an increase in local income of equivalent size. This paper analyzed the Flypaper Effect Assessment Method in the Expansion of Regional Autonomy. It employed 210 New Autonomous Regions (NARs) in Indonesia during 1999–2021 as a case study, where Indonesia became the country with the highest number of new autonomies in the world. Panel Data Regression was utilized to determine the Flypaper Effect. Flypaper Effect analysis was carried out using the BLUE model selection method. The selected models in this study were Pooled Least Square (PLS), Fixed Effect Model (FEM), and Random Effect Model (REM). Several tests, such as Chow Test, Lagrange Multiplier Test, and Hausman Test, were conducted. Furthermore, the procedures to get the data in BLUE were carried out, such as Heteroscedasticity and Autocorrelation Test. Koenker-Bassett test was used for ascertaining Heterocedascity. Panel Data Regression is used as a method to determine the Flypaper Effect in the autonomous region. Each stage in this method is discussed with a calculation/process example. The method utilized in this paper is recommended to determine the Flypaper Effect of New Autonomous Regions (NARs) for various parties.

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“…There do not seem to be many misspecification tests available for testing the adequacy of multivariate GARCH models with multiplicative decomposition of the (conditional) covariance matrix. Catani, Teräsvirta and Yin (2017) develop a Lagrange multiplier test of the model ε t = D t z t where D t = (h 1/2 1t , ..., h…”

Section: Misspecification Testingmentioning

confidence: 99%

“…The authors develop a Lagrange multiplier test for testing this hypothesis and show that the resulting test statistic has an asymptotic χ 2 -distribution with N r degrees of freedom. The Lagrange multiplier statistic by Lin and Li (1997) turns out to be a parsimonious special case of the statistic by Catani et al (2017).…”

Section: Misspecification Testingmentioning

confidence: 99%

Models with multiplicative decomposition of conditional variances and correlations

Amado¹,

Silvennoinen²,

Teräsvirta³

2019

Financial Mathematics, Volatility and Covariance Modelling

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A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Cited by 8 publications

References 27 publications

The Role of Corruption and Healthcare Expenditure in Healthcare Systems of the Persian Gulf Region

The Role of Corruption and Healthcare Expenditure in Healthcare Systems of the Persian Gulf Region

Flypaper effect assessment methods in the expansion of regional autonomy

Models with multiplicative decomposition of conditional variances and correlations

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