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Deviance Critical Values for Finite Sample Size When Testing the Reduction of Gaussian AR(1)-(G)ARCH(1,1) to Random Walk: Results from MATLAB vs. R-Project

https://doi.org/10.2139/ssrn.1802267
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2 of 20 checkable references need attention · checked 2026-08-29

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References needing attention

does not resolve to a known work10.2307/1392425
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The 18 checked references that resolve
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Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study
resolves10.1111/1467-9957.00086
Graphical Methods for Investigating the Size and Power of Hypothesis Tests
resolves10.1016/s0304-4076(97)00110-3
Testing for GARCH effects: a one-sided approach
resolves10.2307/1912773
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
resolves10.1016/s0747-7171(10)80011-2
A review of mathematica
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Analytic derivatives and the computation of GARCH estimates
resolves10.1007/978-1-4612-1860-9_5
Some Applications of Univariate ARCH Models
resolves10.1515/9780691218632
Time Series Analysis
resolves10.1111/1368-423x.t01-1-00090
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
resolves10.1080/00031305.1999.10474450
Assessing the Reliability of Statistical Software: Part II
resolves10.3233/jem-2000-0177
Some numerical aspects of nonlinear estimation
resolves10.1257/000282803322157133
Verifying the Solution from a Nonlinear Solver: A Case Study
resolves10.1080/07350015.1992.10509902
Inequality Constraints in the Univariate GARCH Model
resolves10.1007/bf01588967
Algorithms for nonlinear constraints that use lagrangian functions
resolves10.1214/aos/1031833677
Generalization of likelihood ratio tests under nonstandard conditions
resolves10.1017/s0266466600011397
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The 7 references without a DOI — listed, not checked
no DOI — not checkedArch modeling in finance: A selective review of the theory and empirical evidence
no DOI — not checkedref4
no DOI — not checkedGarch modelling in finance: A review of the software options
no DOI — not checkedref7
no DOI — not checkedref15
no DOI — not checkedref16
no DOI — not checkedref20
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