Hong, Yongmiao; Shehadeh, Ramsey D - In: Journal of Business & Economic Statistics 17 (1999) 1, pp. 91-108
The authors propose a test for autoregressive conditional heteroscedasticity based on a weighted sum of the squared sample autocorrelations of squared residuals from a regression, typically with greater weight given to lower-order lags. The tests of R. F. Engle (1982), G. E. P. Box and D. A....