Table 3.

Empirical sizes of the overall tests for Simulation B1: AR(1)-ARCH(2) model.

n	$M(m)$	$Q({\xi }_n)$	$Q(r,M)$
	${\varphi }_1=0.8,{\alpha }_0=0.6,{\alpha }_1=0.3,{\alpha }_2=0.2$
250	10	0.040	0.032
	20	0.052	0.026
500	10	0.040	0.038
	20	0.054	0.034
	${\varphi }_1=0.7,{\alpha }_0=0.2,{\alpha }_1=0.2,{\alpha }_2=0.2$
250	10	0.054	0.034
	20	0.050	0.028
500	10	0.050	0.036
	20	0.056	0.030
	${\varphi }_1=0.4,{\alpha }_0=0.3,{\alpha }_1=0.3,{\alpha }_2=0.2$
250	10	0.058	0.030
	20	0.040	0.026
500	10	0.046	0.040
	20	0.052	0.034
	${\varphi }_1=0.5,{\alpha }_0=0.5,{\alpha }_1=0.2,{\alpha }_2=0.2$
250	10	0.050	0.034
	20	0.044	0.024
500	10	0.042	0.036
	20	0.044	0.038