A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
In this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.
Year of publication: |
1997
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---|---|
Authors: | Chen, Min ; An, Hong Zhi |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 3, p. 321-331
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Publisher: |
Elsevier |
Keywords: | Nonlinear time series model Conditional heteroskedasticity Hypothesis testing Brownian motion |
Saved in:
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