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Bera, Anil K.

Overview
Works: 93 works in 198 publications in 1 language and 518 library holdings
Roles: Editor, Author, Honoree
Classifications: HG106, 330
Publication Timeline
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Publications about Anil K Bera
Publications by Anil K Bera
Most widely held works by Anil K Bera
Financial econometrics and empirical market microstructure by Anil K Bera( Book )
9 editions published between 2015 and 2016 in English and held by 29 libraries worldwide
In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis
Information matrix test, parameter heterogeneity and ARCH : a synthesis by Anil K Bera( Book )
7 editions published between 1989 and 1991 in English and held by 10 libraries worldwide
Robust tests for heteroskedasticity and autocorrelation using score function by Anil K Bera( Book )
6 editions published in 1992 in English and held by 9 libraries worldwide
The use of linear approximation to nonlinear regression analysis by Anil K Bera( Book )
5 editions published between 1981 and 1984 in English and held by 8 libraries worldwide
Special issue on Rao's score test ( Book )
3 editions published in 2001 in English and held by 7 libraries worldwide
Alternative approaches to testing non-nested models with autocorrelated disturbances : an application to models of U.S. unemployment by Michael McAleer( Book )
9 editions published in 1990 in English and held by 7 libraries worldwide
Estimation of systematic risk using Bayesian analysis with hierarchical and non-normal priors by Anil K Bera( Book )
5 editions published between 1989 and 1990 in English and held by 6 libraries worldwide
Linearised estimation of nonlinear simultaneous equation system by Anil K Bera( Book )
2 editions published in 1981 in English and held by 6 libraries worldwide
On the formulation of a general structure for conditional heteroskedasticity by Anil K Bera( Book )
5 editions published between 1989 and 1990 in English and held by 6 libraries worldwide
This dissertation concerns theoretical and empirical aspects of a class of conditionally heteroskedastic models. We apply the White's information matrix (IM) test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the Engle's Lagrange multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH). Given Chesher's interpretation of the IM test as a test for parameter heterogeneity, this establishes a connection among the IM test, ARCH and parameter variation. The LM test for ARCH is interpreted as a test for the constancy of the autocorrelation coefficients. This also enables us to specify conditional heteroskedasticity in a more general and convenient way. As a result of our analysis, we propose the augmented autoregressive conditional heteroskedasticity (AARCH) model as an extension of ARCH model. In addition, we provide a clear explanation on the difference between the unconditional and conditional heteroskedasticities and suggest some new tests for higher order moments such as tests for heteroskewcity and heterokurtocity. ARCH type models introduce a specific form of heteoskedasticity into time series data analysis. It has been an econometric tradition to incorporate autocorrelation in the model to capture the time series dynamics. We attempt to study the interrelationship between autocorrelation and conditional heteroskedasticity. As the ARCH model has emerged as an important innovation for modeling the second moment of a random variable conditional on the information set, increasing concern has been directed to the formulation of conditional variance function. In order to provide a unified approach to exploring the stationarity conditions and the test statistics for various specifications of conditional heteroskedasticity, we propose a general random coefficient disturbance process in which the AR, ARCH and GARCH processes are obtained as special cases. We develop a new procedure for deriving the stationarity conditions for our general disturbance process through the vector representation of the model and discuss the interaction between autocorrelation and conditional heteroskedasticity. Also we show that the stationarity conditions for the GARCH model can be obtained in a much easier way the Bollerslev's method. Test statistics for conditional heteroskedasticity in the presence of autocorrelation and vice versa when the lagged dependent variable are included as regressors are proposed. (Abstract shortened with permission of author.)
A Test for conditional heteroskedasticity in time series models by Anil K Bera( Book )
4 editions published in 1990 in English and held by 6 libraries worldwide
Joint tests of non-nested models and general error specifications by Anil K Bera( Book )
4 editions published between 1989 and 1991 in English and held by 5 libraries worldwide
Estimation of time-varying hedge ratios for corn and soybeans : BGARCH and random coefficient approaches by Anil K Bera( Book )
6 editions published between 1992 and 1998 in English and held by 5 libraries worldwide
Tests for the error component model in the presence of local misspecification by Anil K Bera( Book )
5 editions published between 1998 and 2000 in English and held by 4 libraries worldwide
A class of nonlinear arch models by M. L Higgins( Book )
4 editions published between 1989 and 1990 in English and held by 4 libraries worldwide
Specification test for a linear regression model with arch process by Anil K Bera( Book )
4 editions published in 1993 in English and held by 3 libraries worldwide
Conditional and unconditional heteroscedasticity in the market model by Anil K Bera( Book )
4 editions published in 1986 in English and held by 3 libraries worldwide
Alternative forms and properties of the score test by Anil K Bera( Book )
3 editions published in 1984 in English and held by 3 libraries worldwide
Tests for normality with stable alternatives by Anil K Bera( Book )
4 editions published between 1983 and 1985 in English and held by 3 libraries worldwide
Nested and non-nested procedures for testing linear and log-linear regression models by Anil K Bera( Book )
4 editions published between 1985 and 1988 in English and held by 3 libraries worldwide
Adoption of high yielding rice varieties in Bangladesh : an econometric analysis by Anil K Bera( Book )
3 editions published in 1988 in English and held by 3 libraries worldwide
 
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Alternative Names
Anil K. Bera Economist
Anil K. Bera Indiaas econoom
Bera, A. K.
Bera, Anil
Languages
English (96)
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