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White heteroscedasticty testing after outlier removal
Berenguer-Rico, Vanessa; Wilms, Ines - 2018
Persistent link: https://www.econbiz.de/10011910640
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Heteroscedasticity testing after outlier removal
Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10012483796
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A fixed-bandwith view of the pre-asymptotic inference for Kernel smooting with time series data
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - 2015
Persistent link: https://www.econbiz.de/10011378410
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Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
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Adaptive long memory testing under heteroskedasticity
Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
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Neural tests for conditional heteroskedasticity in ARCH-M models
Peretti, Christian de (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 3
Persistent link: https://www.econbiz.de/10002652224
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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
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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
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Testing for Regime Changes in Portfolios with a Large Number of Assets : A Robust Approach to Factor Heteroskedasticity
Massacci, Daniele - 2020
We develop a new test for threshold-type regime changes in the risk exposures in portfolios with a large number of financial assets whose returns exhibit an approximate factor structure. Unlike existing procedures to detect discrete shifts in factor models, our test is robust to regime-specific...
Persistent link: https://www.econbiz.de/10012853517
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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