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A nonparametric goodness-of-fit-based test for conditional heteroskedasticity

Su, Liangjun; Ullah, Aman - In: Econometric theory 29 (2013) 1, pp. 187-212

Persistent link: https://www.econbiz.de/10009747860

Testing for conditional heteroscedasticity in the components of inflation

Broto, Carmen; Ruiz, Esther - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10009513588

Testing for Conditional Heteroscedasticity in the Components of Inflation

Broto, Carmen - 2008

residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be … power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …

Persistent link: https://www.econbiz.de/10012724002

Outer-product-of-gradients tests for spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 35-57

Persistent link: https://www.econbiz.de/10012108383

Size Distortions of the Wild Bootstrapped HCCME-Based LM Test for Serial Correlation in the Presence of Asymmetric Conditional Heteroskedasticity

Grobys, Klaus - 2015

This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped counterparts in the presence of asymmetric conditional heteroskedasticity. Thereby, asymmetric effects are allowed to enter the residual process of the dynamic regression model in...

Persistent link: https://www.econbiz.de/10013029965