Which test is commonly performed to check for the presence of ARCH effects?
A)Chow test
B)Wald test
C)LM
D)F-test

Question

Quizplus · Accepted Answer

The LM test (Lagrange Multiplier test) is commonly used to test for the presence of ARCH (Autoregressive Conditional Heteroscedasticity) effects in time series data. The LM test is a type of residual-based test that examines whether there is residual autocorrelation in the squared residuals of a regression model. It can be used for both univariate and multivariate regressions. The Chow test and F-test are used for testing the equality of coefficients in two or more regression models, while the Wald test is used for testing a single restriction on the coefficients of a regression model.

Which Test Is Commonly Performed to Check for the Presence