{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,24]],"date-time":"2026-09-24T07:47:09Z","timestamp":1790236029229,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2001,12,1]],"date-time":"2001-12-01T00:00:00Z","timestamp":1007164800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,12]]},"abstract":"<jats:p>There has been increasing interest recently in hypothesis testing \nwith inequality restrictions. An important example in time series \neconometrics is hypotheses on autoregressive conditional \nheteroskedasticity (ARCH). We propose a one-sided test for ARCH \neffects using a wavelet spectral density estimator at frequency \nzero of a squared regression residual series. The square of \nan ARCH process is positively correlated at all lags, resulting \nin a spectral mode at frequency zero. In particular, it has \na spectral peak at frequency zero when ARCH effects are persistent \nor when ARCH effects are small at each individual lag but carry \nover a long distributional lag. As a joint time-frequency \ndecomposition method, wavelets can effectively capture spectral \npeaks. We expect that wavelets are more powerful than kernels \nin small samples when ARCH effects are persistent or when ARCH \neffects have a long distributional lag. This is confirmed in \na simulation study.<\/jats:p>","DOI":"10.1017\/s0266466601176024","type":"journal-article","created":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T16:16:40Z","timestamp":1567441000000},"page":"1051-1081","source":"Crossref","is-referenced-by-count":18,"title":["ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS"],"prefix":"10.1017","volume":"17","author":[{"given":"Yongmiao","family":"Hong","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jin","family":"Lee","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2001,12,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601176024","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T16:16:42Z","timestamp":1567441002000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601176024\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2001,12]]}},"alternative-id":["S0266466601176024"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601176024","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,12]]}}}