A researcher tells you that she thinks the properties of the Ljung Box test (i.e., the size

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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: 9781108436823

4th Edition

Authors: Chris Brooks

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Question Posted: Jul 23, 2024 10:00 AM

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A researcher tells you that she thinks the properties of the Ljung Box test (i.e., the size

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Introductory Econometrics For Finance

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