Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels
This paper considers a test for conditional heteroscedasticity based on artificial neural networks and compares its performance with some standard tests using a Monte Carlo study. The conditionally heteroscedastic alternative hypothesis is represented by a conditional variance with a neural specification; the Lagrange Multiplier test can detect a large class of conditional heteroscedasticity. The results of the simulation experiments, that are entirely presented in graphical form, show that its relative performance is encouraging.
Year of publication: |
2000
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Authors: | CAULET, Renaud ; PEGUIN-FEISSOLLE, Anne |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 2000, 59, p. 177-197
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
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