A researcher tells you that she thinks the properties of the LjungBox test (i.e. the size and

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A researcher tells you that she thinks the properties of the Ljung–Box test (i.e. the size and power) will be adversely affected by ARCH in the data. Design a simulations experiment to test this proposition.

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Introductory Econometrics For Finance

ISBN: 9780521694681

2nd Edition

Authors: Chris Brooks

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Question Posted: Jul 24, 2024 12:02 PM

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A researcher tells you that she thinks the properties of the LjungBox test (i.e. the size and

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Introductory Econometrics For Finance

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