Tsui, Albert K - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 113-119
In this paper, we study the size and power of various diagnostic statistics for univariate conditional heteroscedasticity models. These test statistics include the residual-based tests recently derived by Tse, Li and Mak, and Wooldridge, respectively. Monte-Carlo experiments with 1000...